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Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate

机译:分数布朗运动和随机率跳-扩散模型中两种幂期权的定价研究

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In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.
机译:本文在假设汇率遵循扩展的Vasicek模型的前提下,研究了FBM模型中重置期权的定价。讨论了一些有趣的主题,例如具有单个重置日期的重置选项的闭式公式以及重置日期期间重置选项中存在的重置跳跃的增量现象。最后推导了两种电力期权定价的闭式公式。

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