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Title: Quanto Option Pricing in Fractional Brownian Motion Environment
Source: International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment) (pp 2959-2962)
Author(s): Hong Xue, School of Science, Xi’an Polytechnic University, Xi’an, China, 710048
Kaiyuan Huang, School of Science, Xi’an Polytechnic University, Xi’an, China, 710048
Abstract: Assume that stock price and exchange rate obey the stochastic differential equations driven by fractional Brownian motion, the financial market model in fractional Brownian environment is built. The Black-Scholes partial differential equation for quanto option is presented, and the pricing formulae of quanto options are obtained.
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