Barrier Options and a Reflection Principle of the Fractional Brownian Motion
AbstractThe 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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Bibliographic InfoPaper 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.
Date of creation: Apr 2008
Date of revision:
fractional Brownian motion; fractional Black-Scholes market; quasiconditional expectation;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- 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.
- 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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