ISSN 2234-8417 (Online) ISSN 1598-5857 (Print)

 
 
 
   
 
Table of Contents
   
 
2011's   29,5-6(Sept)
   
 
  BARRIER OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE
    By SUN YU-DONG, SHI YI-MIN ..........1273
   
 
 
Generic Number - 1273
References - 0
Written Date - September 20th, 11
Modified Date - September 20th, 11
Downloaded Counts - 420
Visited Counts - 701
 
Original File
 
Summary
In this study, assume that the stock price obeys the stochastic differential equation
driven by mixed fractional Brownian motion, and
the short rate follows the Vasicek model. Then, the Black-Scholes partial
differential equation is held by using fractional Ito formula. Finally, the
pricing formulae of the barrier option are obtained by partial differential
equation theory. The results of Black-Scholes model are generalized.
 
 
   
 
   

학회 : 정보전산응용수학회(KSICAM) (구: KSCAM & Korean SIGCAM)
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