European Option Pricing Under the Vaseck Model of the Short Rate in Mixed Fractional Brownian Motion Environment

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DC Field	Value	Language
dc.contributor.author	Sun, Yu-dong
dc.contributor.author	Shi, Yi-min
dc.date.accessioned	2016-12-22T17:23:50Z	-
dc.date.available	2016-12-22T17:23:50Z	-
dc.date.issued	2011
dc.identifier.issn	0972-8791 (Print)
dc.identifier.uri	http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/838	-
dc.description	1-6	en_US
dc.description.abstract	In this study, assume that the stock price obey the stochastic differential equation driven by mixed fractional Brownian motion, and the short rate follows the Vaseck model. Then, the Black-Scholes partial differential equation is obtained under the assumptions by using fractional Ito formula. Finally, the pricing formulae of the European call and put option are obtained by partial differential equation theory. The results of Black-Scholes model is generalized.	en_US
dc.language.iso	en_US	en_US
dc.publisher	Vidyasagar University , Midnapore , West-Bengal , India	en_US
dc.relation.ispartofseries	Journal of Physical Science;Vol 15 [2011]
dc.subject	Option pricing	en_US
dc.subject	Vaseck model	en_US
dc.subject	Black-Scholes model	en_US
dc.subject	mixed fractiona Brownian motion	en_US
dc.title	European Option Pricing Under the Vaseck Model of the Short Rate in Mixed Fractional Brownian Motion Environment	en_US
dc.type	Article	en_US
Appears in Collections:	Journal of Physical Sciences Vol.15 [2011]

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