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Title: European Option Pricing in Fractional Jump Diffusion Markets
Authors: Yan, Dong
Keywords: fractional Brownian motion
Poisson process
incomplete markets
Monte Carlo method
Issue Date: 2012
Publisher: Vidyasagar University , Midnapore , West-Bengal , India
Series/Report no.: Journal of Physical Science;Vol 16 [2012]
Abstract: Previous option pricing research typically assumes that the stock volatility is constant during the life of the option. In this study, we assume the stock volatility in our option valuation model is function of time and stock price. The stock price Process numerically is simulated by using the Monte Carlo method. Then, the numerical option pricing method for European option is hold. Finally, we compare our results with the known results in the linear case, the results show that our method is effective.
Description: 75-84
ISSN: 0972-8791 (Print)
Appears in Collections:Journal of Physical Sciences Vol.16 [2012]

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