Barrier Options and a Reflection Principle of the Fractional Brownian Motion
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.
|Date of creation:||Apr 2008|
|Date of revision:|
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Web page: http://www.dofin.ase.ro/carfib/
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