Journal of Jilin University Science Edition

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Pricing of the Minimum or Maximum Option inBifractional Jump-Diffusion Process

XUE Hong, LI Dan   

  1. School of Science, Xi’an Polytechnic University, Xi’an 710048, China
  • Received:2015-12-31 Online:2016-09-26 Published:2016-09-19
  • Contact: LI Dan E-mail:1584937220@qq.com

Abstract:

Using the bifractional jumpdiffusion stochastic analysis theory and the actuarial approach, we set up the financial market model in bifractional jump-diffusion process and gave pricing formula of the minimum or maximum option in bifractional jumpdiffusion process.

Key words: bifractional jump-diffusion process, stochastic analysis, the minimum or maximum option, actuarial approach

CLC Number: 

  • O211