Pricing Formulas of Compound Options under the Fractional Brownian Motion

Chao Zhang,Jizhou Zhang,Dongya Tao

Pricing Formulas of Compound Options under the Fractional Brownian Motion

2011

Chao Zhang
Jizhou Zhang
Dongya Tao

In this paper, the pricing formulas of the compound options under the fractional Brownian motion are given by the method of partial differential equation.

Keywords:

Fractional Brownian motion
Compound option
Mathematical optimization
Partial differential equation
Black–Scholes model
Mathematics
Applied mathematics
Mathematical economics

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