European Option Pricing in Fractional Jump Diffusion Markets

Please use this identifier to cite or link to this item: https://ir.vidyasagar.ac.in/jspui/handle/123456789/861

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DC Field	Value	Language
dc.contributor.author	Yan, Dong
dc.date.accessioned	2016-12-22T17:26:42Z	-
dc.date.available	2016-12-22T17:26:42Z	-
dc.date.issued	2012
dc.identifier.issn	0972-8791 (Print)
dc.identifier.uri	http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/861	-
dc.description	75-84	en_US
dc.description.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.	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 16 [2012]
dc.subject	fractional Brownian motion	en_US
dc.subject	Poisson process	en_US
dc.subject	incomplete markets	en_US
dc.subject	Monte Carlo method	en_US
dc.title	European Option Pricing in Fractional Jump Diffusion Markets	en_US
dc.type	Article	en_US
Appears in Collections:	Journal of Physical Sciences Vol.16 [2012]

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