Dynamic Pricing Model of Power Options in a Fractional Market
2011 ◽
Vol 225-226
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pp. 338-341
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In this paper, we study the new method of option pricing based on the risk preference. We define the equivalent classes of random events based on the historical information and the risk preference. The dynamic pricing model of power options has been studied. Applying the conditional density function of the stock price process, we have given the explicit solution of the model. And we analyze the influence of Hurst parameter on pricing formula.
2018 ◽
Vol 54
(2)
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pp. 695-727
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2020 ◽
Vol 555
◽
pp. 124444
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2014 ◽
Vol 12
(1)
◽
pp. 2-20
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2015 ◽
Vol 1
(1)
◽
pp. 041
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