Pricing European Option under Fractional Jump-diffusion Ornstein-Uhlenbeck Model

摘要

Assume that the stock price obey the stochastic differential equation driven by fractional Brownian motion and compound Poisson process, we build the fractional jump-diffusion Ornstein-Uhlenbeck model. Using physical probability measure of price process and the fair premium, we obtain the price explicit expression of the European option. It generalizes the Black-Scholes model.