Pricing European and Barrier Options in the Fractional Black-Scholes Market
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for the valuation of derivative products in the fractional Black-Scholes market. We also obtain a reflection principle for the fractional Brownian motion.
|Date of creation:||Oct 2008|
|Date of revision:|
|Contact details of provider:|| Postal: 6 ROMANA PLACE, 70167 - BUCHAREST|
Web page: http://www.dofin.ase.ro/carfib/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cipian Necula, 2008. "Barrier Options and a Reflection Principle of the Fractional Brownian Motion," Advances in Economic and Financial Research - DOFIN Working Paper Series 6, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- Alòs, Elisa & Mazet, Olivier & Nualart, David, 2000. "Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 121-139, March.
- Cipian Necula, 2008. "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series 2, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- 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.
- L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
When requesting a correction, please mention this item's handle: RePEc:cab:wpaefr:20. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ciprian Necula)
If references are entirely missing, you can add them using this form.