2012•Journal of Chongqing Technology and Business UniversityRequires access
Exchange Option Pricing Model in Fractional Brownian Motion Environment
HE Cheng-jie
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Abstract
The issue of exchange options pricing in fractional Brownian motion environment is considered.Under the assumption that the two stock pricing processes obey the stochastic differential equation driven by geometric fractional Brownian motion,we obtain the pricing formula of exchange options by insurance actuary pricing method.