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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| Format: | Article |
| Language: | English |
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University of Mohaghegh Ardabili
2014-12-01
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| Series: | Journal of Hyperstructures |
| Subjects: | |
| Online Access: | https://jhs.uma.ac.ir/article_2588_8c885e9d7e317cb3b14f3bab69f03369.pdf |
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| author | Kyong-Hui Kim Myong-Guk Sin Un-Hua Chong |
| author_facet | Kyong-Hui Kim Myong-Guk Sin Un-Hua Chong |
| author_sort | Kyong-Hui Kim |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-a8beb9969c944949b28af72eb33d4e8f |
| institution | Matheson Library |
| issn | 2251-8436 2322-1666 |
| language | English |
| publishDate | 2014-12-01 |
| publisher | University of Mohaghegh Ardabili |
| record_format | Article |
| series | Journal of Hyperstructures |
| spelling | doaj-art-a8beb9969c944949b28af72eb33d4e8f2025-07-09T08:23:48ZengUniversity of Mohaghegh ArdabiliJournal of Hyperstructures2251-84362322-16662014-12-013215516410.22098/jhs.2014.25882588Pricing formula for exchange option in fractional black-scholes model with jumpsKyong-Hui Kim0Myong-Guk Sin1Un-Hua Chong2Faculty of Mathematics, University of Kim Il Sung University, Pyongyang, D.P.R. KoreaFaculty of Mathematics, University of Kim Il Sung University, Pyongyang, D.P.R. KoreaFaculty of Mathematics, University of Kim Il Sung University, Pyongyang, D.P.R. KoreaIn 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.https://jhs.uma.ac.ir/article_2588_8c885e9d7e317cb3b14f3bab69f03369.pdfpricing formulaexchange optionfractional black-scholes modeljump noise |
| spellingShingle | Kyong-Hui Kim Myong-Guk Sin Un-Hua Chong Pricing formula for exchange option in fractional black-scholes model with jumps Journal of Hyperstructures pricing formula exchange option fractional black-scholes model jump noise |
| title | Pricing formula for exchange option in fractional black-scholes model with jumps |
| title_full | Pricing formula for exchange option in fractional black-scholes model with jumps |
| title_fullStr | Pricing formula for exchange option in fractional black-scholes model with jumps |
| title_full_unstemmed | Pricing formula for exchange option in fractional black-scholes model with jumps |
| title_short | Pricing formula for exchange option in fractional black-scholes model with jumps |
| title_sort | pricing formula for exchange option in fractional black scholes model with jumps |
| topic | pricing formula exchange option fractional black-scholes model jump noise |
| url | https://jhs.uma.ac.ir/article_2588_8c885e9d7e317cb3b14f3bab69f03369.pdf |
| work_keys_str_mv | AT kyonghuikim pricingformulaforexchangeoptioninfractionalblackscholesmodelwithjumps AT myongguksin pricingformulaforexchangeoptioninfractionalblackscholesmodelwithjumps AT unhuachong pricingformulaforexchangeoptioninfractionalblackscholesmodelwithjumps |