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HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?

✍ Scribed by Walter Schachermayer; Josef Teichmann

Book ID
111043095
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
142 KB
Volume
18
Category
Article
ISSN
0960-1627

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✍ Jin-Rong Liang; Jun Wang; Wen-Jun Zhang; Wei-Yuan Qiu; Fu-Yao Ren 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 247 KB

A model for option pricing of a (γ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H ∈ (0, 1), is established. We obtain the explicit option pricing formulas for the Europe