Pricing Reset Option in a Fractional Brownian Motion Market

被引：0
|
作者：
Deng Guohe [1 ]
Xi Huan [1 ]
机构：
[1] Guangxi Normal Univ, Sch Math, Guilin 541004, Peoples R China
来源：
2011 30TH CHINESE CONTROL CONFERENCE (CCC) | 2011年
关键词：
Reset option; Fractional Brownian motion; Delta jump;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The pricing formula of reset option with n pre-specified reset dates when the underlying asset follows a geometric fractional Brownian motion, with Hurst parameter H is an element of (0, 1), is considered. The close-form pricing formula of the reset option with a single reset date is derived for expositional simplification. Furthermore, we apply this result to explore the phenomena of Delta jump across reset dates.
引用
收藏
页码：5727 / 5731
页数：5
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