Theoretical Mathematics & Applications
A Weighted-fractional model to European option pricing
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This paper deals the option pricing problem in the weighted fractional Brownian motion model. Both the long-range dependence of the weighted fractional Brownian motion and the European option pricing formula are obtained. Figures are given to illustrate the effectiveness of the result and show that the weighted-fractional model to option pricing is a reasonable one.
ISSN: 1792-9687 (Print)