Applied Mathematics

Vol.5 No.16(2014), Paper ID 49367, 16 pages

DOI:10.4236/am.2014.516234

 

Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate

 

Jin Li, Kaili Xiang, Chuanyi Luo

 

School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China
School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China
School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China

 

Copyright © 2014 Jin Li, Kaili Xiang, Chuanyi Luo et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Li, J. , Xiang, K. and Luo, C. (2014) Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate. Applied Mathematics, 5, 2426-2441. doi: 10.4236/am.2014.516234.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.