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《Journal of Huaihai Institute of Technology(Natural Sciences Edition)》 2008-04
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Pricing Model of Bivariate Binary Options in FBM Environment

ZHAO Wei(School of Business,Huaihai Institute of Technology,Lianyungang 222001,China)  
The self-similarity and long-range dependence properties make the Fractional Brownian motion a suitable tool in different applications like mathematical finance.This paper used the hypotheses that price follows geometric FBM to construct the It fractional Black-Scholes market.Using the quasi-martingale method based on the fractional risk neutral measure,it solved the fractional Black-Scholes model.Moreover,the pricing model of Bivariate Binary Options in FBM environment was discussed.Results showed that fractional option price,compared to classical option price,depends on maturity time and Hurst parameter H.
【CateGory Index】: F830.91;F224
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