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European Option Pricing under a Class of Fractional Market |
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| Authors: | FEI Wei-yin |
| Institution: | Department of Applied Mathematics, Anhui Polytechnic University, Wuhu 241000, China |
| Abstract: | In order to price European contingent claim in a class of fractional Black-Scholes market,where the prices of assets follow a Wick-Ito stochastic differential equation driven by the fractional Brownian motion and market coefficients are deterministic functions,the pricing formula of European call option was explicitly derived by the method of the stochastic calculus of the fractional Brownian motion. A result about fractional Clark derivative was also obtained. |
| Keywords: | fractional Brownian motion Wick-It(o) stochastic integral fractional It(o) formula Girsanov thoerem for fractional Brownian motion fractional Clark-Ocone theorem option pricing |
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