Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility

• Autorzy: Falkowski A.

Identyfikatory

DOI

10.4064/ba61-2-12

• Języki publikacji: EN

Abstrakty

EN

We study actuarial methods of option pricing in a fractional Black–Scholes model with time-dependent volatility. We interpret the option as a potential loss and we show that the fair premium needed to insure this loss coincides with the expectation of the discounted claim payoff under the average risk neutral measure.

Słowa kluczowe

EN

option pricing; fractional Black-Scholes model; time-dependent volatility; Girsanov theorem

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2013
• Tom: Vol. 61, no 2
• Strony: 181--193
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Falkowski A.

• Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland

Bibliografia

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