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Barrier Options and a Reflection Principle of the Fractional Brownian Motion

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Author Info

  • Cipian Necula

    (Faculty of Finance and Banking, Bucharest University of Economics)

Abstract

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.

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File URL: http://www.dofin.ase.ro/Working%20papers/Ciprian%20Necula/barrier%20fbm.pdf
File Function: First version, 2008
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Bibliographic Info

Paper provided by Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB in its series Advances in Economic and Financial Research - DOFIN Working Paper Series with number 6.

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Date of creation: Apr 2008
Date of revision:
Handle: RePEc:cab:wpaefr:6

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Related research

Keywords: fractional Brownian motion; fractional Black-Scholes market; quasiconditional expectation;

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Cited by:
  1. Ciprian Necula, 2008. "A Framework for Derivative Pricing in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series 19, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  2. Ciprian Necula, 2008. "Pricing European and Barrier Options in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series 20, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.

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