Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate
Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=49367#.VI5ZFMnQrzE Author(s) Jin Li , Kaili Xiang , Chuanyi Luo Affiliation(s) School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China . School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China . School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, China . ABSTRACT In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset dat...