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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.
【Key Words】: fractional Brownian motion quasi-martingale pricing fractional Black-Scholes model Bivariate Binary Options
【CateGory Index】: F830.91;F224
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【Citations】
Chinese Journal Full-text Database 1 Hits
1 WANG Lan(School of Management,Ji'nan University Guangzhou,510632,China);Feasibility,Significance and Risk Analysis:Development of Warrant Service on Chinese Security Market[J];Journal of Huaihai Institute of Technology(Social Sciences Edition);2006-03
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 ZHUANG Xin-tian1,CHE Chi1,LI Bing2 (1.School of Business Administration,Northeastern University,Shenyang 110004,China;2.The People's Bank of China Shenyang Branch,Shenyang 110001,China);Stock Warrants,Equity Division Reform and Development of Securities Market[J];Journal of Northeastern University(Social Science);2007-02
2 SHU Hui-sheng1,CHEN Chun-li 1,WEI Guo-liang2 1 College of Science,Donghua University,Shanghai 201620,China2 School of Information Science and Technology,Donghua University,Shanghai 201620,China;Stability of Linear Stochastic Differential Equations with Respect to Fractional Brownian Motion[J];东华大学学报(英文版);2009-02
3 MA Chao-qun,LIU Chao (College of Business Administration,Hunan University,Changsha 410082,China);Fractional Pricing Model for Commodity Futures Options and Its Empirical Study[J];Systems Engineering;2009-02
4 LIU Xuan-hui1,XUE Yun1,XU Cheng-xian2 (1-College of Science,Xi'an Polytechnic University,Xi'an 710048; 2-School of Science,Xi'an Jiaontong Univeristy,Xi'an 710049);Pricing and Hedging of an Asia Option Whose Price of Underlying Asset Follows Fractional Brown Motion[J];Chinese Journal of Engineering Mathematics;2009-05
5 WANG Jian-jun (College of Science,Hunan Institute of Engineering,Xiangtan 411104,China);Pricing of Bi-direction European Option on Stock Driven by Multidimensional Fractional Brownian Motions and Poisson Processes[J];Journal of Hunan Institute of Engineering(Natural Science Edition);2009-04
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8 PENG Da-heng1,WANG Hai-yan2(1.School of Finance,Guangdong University of Business Studies,Guangzhou 510320,China;2.School of Mathematics and Computational Science,Guangdong University of Business Studies,Guangzhou 510320,China);Pricing for a Class of Perpetual American Options with Continuous Dividends[J];Journal of Natural Science of Hunan Normal University;2009-01
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【Secondary Citations】
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