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2010 Third International Conference on Business Intelligence and Financial Engineering
Pricing Perpetual American Option under the Fractional Black-Scholes Model
Hong Kong, China
August 13-August 15
ISBN: 978-0-7695-4116-7
| ASCII Text | x | ||
| Wenli Huang, Shenghong Li, Songyan Zhang, "Pricing Perpetual American Option under the Fractional Black-Scholes Model," 2012 Fifth International Conference on Business Intelligence and Financial Engineering, pp. 165-169, 2010 Third International Conference on Business Intelligence and Financial Engineering, 2010. | |||
| BibTex | x | ||
| @article{ 10.1109/BIFE.2010.47, author = {Wenli Huang and Shenghong Li and Songyan Zhang}, title = {Pricing Perpetual American Option under the Fractional Black-Scholes Model}, journal ={2012 Fifth International Conference on Business Intelligence and Financial Engineering}, volume = {0}, year = {2010}, isbn = {978-0-7695-4116-7}, pages = {165-169}, doi = {http://doi.ieeecomputersociety.org/10.1109/BIFE.2010.47}, publisher = {IEEE Computer Society}, address = {Los Alamitos, CA, USA}, } | |||
| RefWorks Procite/RefMan/Endnote | x | ||
| TY - CONF JO - 2012 Fifth International Conference on Business Intelligence and Financial Engineering TI - Pricing Perpetual American Option under the Fractional Black-Scholes Model SN - 978-0-7695-4116-7 SP165 EP169 A1 - Wenli Huang, A1 - Shenghong Li, A1 - Songyan Zhang, PY - 2010 KW - perpetual American option KW - delta-hedging KW - early exercise boundary KW - fractional Black-Scholes model VL - 0 JA - 2012 Fifth International Conference on Business Intelligence and Financial Engineering ER - | |||
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/BIFE.2010.47
Under the assumption of the underlying asset is driven by the fractional Black-Scholes Brownian Motion, we use a self-financing delta-hedging strategy to obtain a discrete time pricing formula for perpetual American put option. We also show that timestep and long-range dependence have a significant impact on option pricing.
Index Terms:
perpetual American option, delta-hedging, early exercise boundary, fractional Black-Scholes model
Citation:
Wenli Huang, Shenghong Li, Songyan Zhang, "Pricing Perpetual American Option under the Fractional Black-Scholes Model," bife, pp.165-169, 2010 Third International Conference on Business Intelligence and Financial Engineering, 2010
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