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The Minimum Or Maximum Option Pricing In Bi-fractional Brownian Motion Environment

Posted on:2018-02-13Degree:MasterType:Thesis
Country:ChinaCandidate:D LiFull Text:PDF
GTID:2359330542472528Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
The development of financial markets has led to the emergence of a large number of exotic options,exotic options are products designed by financial institutions to meet the specific requirements of the market,the minimum or maximum option is one of them.Option pricing is one of the hot issues of financial mathematics research.Scholars at home and abroad first studied the option pricing in the Brownian or fractional Brownian motion environment.Now,they have found that the bi-fractional Brownian motion is a more general Guassian process,which better describe the volatility of the stock price.In this paper,the pricing of the minimum or maximum option in the bi-fractional Brownian motion environment is studied.First,the minimum or maximum option pricing model in bi-fractional Brownian motion environment is discussed.Assume that the stock price volatility follows a stochastic differential equation driven by bi-fractional Brownian motion,the financial market model in bi-fractional Brownian motion environment is built.Using the actuarial approach,the pricing formula for the minimum or maximum option is obtained.Second,the minimum or maximum option pricing in bi-fractional jump-diffusion environment is discussed.On the basis of part one,considering the jump diffusion process and the financial model is built.Using the actuarial method,the pricing formula for the minimum or maximum option in bi-fractional jump-diffusion process is obtained.
Keywords/Search Tags:bi-fractional Brownian motion, jump diffusion process, the minimum or maximum option, actuarial approach, stochastic analysis theory
PDF Full Text Request
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