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

• Autorzy: Adrian Falkowski
• 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.

Kategorie tematyczne

• 60G15: Gaussian processes
• 91B70: Stochastic models
• 60G22: Fractional processes, including fractional Brownian motion

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2013
• Tom: 61
• Numer: 2
• Strony: 181-193

Daty

wydano

2013

Twórcy

autor

Adrian Falkowski

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

Identyfikatory

DOI

10.4064/ba61-2-12