Pricing formula for exchange option in fractional black-scholes model with jumps
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 fracti...
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| Auteurs principaux: | , , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
University of Mohaghegh Ardabili
2014-12-01
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| Collection: | Journal of Hyperstructures |
| Sujets: | |
| Accès en ligne: | https://jhs.uma.ac.ir/article_2588_8c885e9d7e317cb3b14f3bab69f03369.pdf |
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