Pricing European Option under Bi-fractional Jump-Diffusion Process

DOI

10.2991/icaicte-15.2015.64How to use a DOI?

Keywords

bi-fractional Brownian motion, jump-diffusion process, European option, actuarial mathematics.

Abstract

Assume that stock price follows the stochastic differential equation driven by the bi-fractional Brownian motion and jump process, the financial mathematical model under bi-fractional jump-diffusion process is built by the stochastic analysis theory of the bi-fractional Brownian motion and jump process. The European option is discussed using the actuarial approach, and the European option pricing formula is obtained

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xue Hong
AU  - Wu Jiangzeng
PY  - 2015/08
DA  - 2015/08
TI  - Pricing European Option under Bi-fractional Jump-Diffusion Process
BT  - Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
PB  - Atlantis Press
SP  - 267
EP  - 270
SN  - 2352-538X
UR  - https://doi.org/10.2991/icaicte-15.2015.64
DO  - 10.2991/icaicte-15.2015.64
ID  - Hong2015/08
ER  -