An actuarial approach to foreign currency option pricing

被引：0
作者：
Min, Zhang [1 ]
机构：
[1] Univ South China, Sch Math & Phys, Hengyan 421001, Peoples R China
来源：
PROCEEDINGS OF THE 2015 CONFERENCE ON INFORMATIZATION IN EDUCATION, MANAGEMENT AND BUSINESS | 2015年 / 20卷
关键词：
fair premium; option pricing; foreign currency option; fractional Brownian motion;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
Using physical probabilistic measure of price process and the principle of fair premium, we deal with pricing formula of option on Foreign currency option under the assumption that foreign option price process driven by fractional Brownian motion process, we obtain the pricing formula of foreign option.
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页码：870 / 876
页数：7
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