Mathematical Theory and Applications ›› 2017, Vol. 37 ›› Issue (2): 18-23.

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General Exchange Option Pricing in Sub-fractional Brownian Motion Environments

Xu Feng   

  1. Business School,Suzhou Vocational University
  • Online:2017-06-30 Published:2020-09-23

Abstract:

his paper studies the pricing problem of general exchange options in sub-fractional Brownian motion environments.Under the condition that the two stock pricing processes obey the stochastic differential equation driven by the sub-fractional Brownian motion,the pricing formula of the general exchange options is obtained by insurance actuary pricing.

Key words:

Sub-fractional Brownian motion, General exchange option, Insurance actuary, Option pricing