@inproceedings{82a6667005774d0bb51dd64c97de38a6,
title = "Fractional diffusion models of European option with Poisson process",
abstract = "Under the hypothesis of underlying asset price with long-range correlations and jump in short time, the stock price model is constructed driven by fractional Brownian motion and jump process. Then an analytic solution for European option is obtained by quasi-martingale method in the environment of fractional Brownian motion and Poisson process. For the sake of understanding the model, the influence of Hurst parameter and Poisson process are also analyzed. Finally, the model pricing efficiency is compared with Black-Scholes model and Double exponential jump diffusion option pricing model by Baotou Steel JTB1 warrants.",
keywords = "European option pricing, Fractional Brownian motion, Hurst parameter, Poisson process",
author = "Dianyu Song and Shancun Liu and Hua Jin",
year = "2011",
doi = "10.1109/ICIII.2011.349",
language = "英语",
isbn = "9780769545233",
series = "Proceedings - 2011 4th International Conference on Information Management, Innovation Management and Industrial Engineering, ICIII 2011",
pages = "278--281",
booktitle = "Proceedings - 2011 4th International Conference on Information Management, Innovation Management and Industrial Engineering, ICIII 2011",
note = "4th International Conference on Information Management, Innovation Management and Industrial Engineering, ICIII 2011 ; Conference date: 26-11-2011 Through 27-11-2011",
}