An Actuarial Approach to Reload Option Pricing in Fractional Jump-diffusion Environment

DOI

10.2991/icetis-13.2013.97How to use a DOI?

Keywords

Reload Option; Actuary Method; Jump-diffusion Process; Fractional Brownian Motion

Abstract

Assume that the underlying asset price follows the fractional jump-diffusion process, the financial market model is built by the stochastic analysis theory for fractional Brownian motion. Using physical probabilistic measure of price process and the principle of fair premium, the pricing formula for reload option is obtained.

Copyright

© 2013, 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  - Hong Xue
AU  - Yonghong He
PY  - 2013/06
DA  - 2013/06
TI  - An Actuarial Approach to Reload Option Pricing in Fractional Jump-diffusion Environment
BT  - Proceedings of the 2013 the International Conference on Education Technology and Information System (ICETIS 2013)
PB  - Atlantis Press
SP  - 435
EP  - 438
SN  - 1951-6851
UR  - https://doi.org/10.2991/icetis-13.2013.97
DO  - 10.2991/icetis-13.2013.97
ID  - Xue2013/06
ER  -