| dc.creator |
Yan, Dong |
|
| dc.date |
2016-12-22T17:26:42Z |
|
| dc.date |
2016-12-22T17:26:42Z |
|
| dc.date |
2012 |
|
| dc.date.accessioned |
2022-05-26T09:00:11Z |
|
| dc.date.available |
2022-05-26T09:00:11Z |
|
| dc.identifier |
0972-8791 (Print) |
|
| dc.identifier |
http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/861 |
|
| dc.identifier.uri |
http://localhost:8080/xmlui/handle/CUHPOERS/199233 |
|
| dc.description |
75-84 |
|
| dc.description |
Previous option pricing research typically assumes that the stock volatility is
constant during the life of the option. In this study, we assume the stock volatility in
our option valuation model is function of time and stock price. The stock price
Process numerically is simulated by using the Monte Carlo method. Then, the
numerical option pricing method for European option is hold. Finally, we compare
our results with the known results in the linear case, the results show that our
method is effective. |
|
| dc.format |
application/pdf |
|
| dc.language |
en_US |
|
| dc.publisher |
Vidyasagar University , Midnapore , West-Bengal , India |
|
| dc.relation |
Journal of Physical Science;Vol 16 [2012] |
|
| dc.subject |
fractional Brownian motion |
|
| dc.subject |
Poisson process |
|
| dc.subject |
incomplete markets |
|
| dc.subject |
Monte Carlo method |
|
| dc.title |
European Option Pricing in Fractional Jump Diffusion Markets |
|
| dc.type |
Article |
|