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《Journal of Shandong University(Natural Science)》 2012-09
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A kind European lookback option pricing model in mixed fractional Brownian motion environment

YANG Zhao-qiang(School of Mathematics and Software Engineering,Lanzhou Jiaotong University,Lanzhou 730070,Gansu,China)  
The price model under the It formula for mixed fractional Brownian motion was proposed.Then the stochastic differential equation for mixed fractional Brownian motion was obtained by the price model,which meets the pricing model for the European floating strike price of the lookback option.The pricing formulas of floating strike lookback call option and lookback put option were proved.
【CateGory Index】: F830;O211.6
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