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pricing formula for exchange option in fractional black-scholes model with jumps
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نویسنده
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kim kyong-hui ,sin myong-guk ,chong un-hua
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منبع
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journal of hyperstructures - 2014 - دوره : 3 - شماره : 2 - صفحه:155 -164
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چکیده
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In this paper pricing formula for exchange option in a fractional black-scholes model with jumps is derived. we found out some errors in proof of pricing formula for european call option [7]. at first we revise these errors and then extend this result to pricing formula for exchange option in fractional black-scholes model with jumps.
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کلیدواژه
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pricing formula ,exchange option ,fractional black-scholes model ,jump noise
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آدرس
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university of kim il sung university, faculty of mathematics, korea, university of kim il sung university, faculty of mathematics, korea, university of kim il sung university, faculty of mathematics, korea
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Authors
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