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Barrier Options and a Reflection Principle of the Fractional Brownian Motion

Author

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  • 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.

Suggested Citation

  • 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.
    • Handle: RePEc:cab:wpaefr:6
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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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    Citations

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    Cited by:

    1. El-Beltagy, Mohamed & Etman, Ahmed & Maged, Sroor, 2022. "Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
    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.
    3. 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.

    More about this item

    Keywords

    fractional Brownian motion; fractional Black-Scholes market; quasiconditional expectation;
    All these keywords.

    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; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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