An Actuarial Approach to Reload Option Pricing in Fractional Jump-diffusion Environment
- 10.2991/icetis-13.2013.97How to use a DOI?
- Reload Option; Actuary Method; Jump-diffusion Process; Fractional Brownian Motion
Assume that the underlying asset price follows the fractional jump-diffusion process, the financial market model is built by the stochastic analysis theory for fractional Brownian motion. Using physical probabilistic measure of price process and the principle of fair premium, the pricing formula for reload option is obtained.
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Hong Xue AU - Yonghong He PY - 2013/06 DA - 2013/06 TI - An Actuarial Approach to Reload Option Pricing in Fractional Jump-diffusion Environment BT - Proceedings of the 2013 the International Conference on Education Technology and Information System (ICETIS 2013) PB - Atlantis Press SP - 435 EP - 438 SN - 1951-6851 UR - https://doi.org/10.2991/icetis-13.2013.97 DO - 10.2991/icetis-13.2013.97 ID - Xue2013/06 ER -