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

Adrian Falkowski. "Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility." Bulletin of the Polish Academy of Sciences. Mathematics 61.2 (2013): 181-193. <http://eudml.org/doc/281330>.

@article{AdrianFalkowski2013,
abstract = {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.},
author = {Adrian Falkowski},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {option pricing; fractional Black-Scholes model; time-dependent volatility; Girsanov theorem},
language = {eng},
number = {2},
pages = {181-193},
title = {Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility},
url = {http://eudml.org/doc/281330},
volume = {61},
year = {2013},
}

TY - JOUR
AU - Adrian Falkowski
TI - Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2013
VL - 61
IS - 2
SP - 181
EP - 193
AB - 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.
LA - eng
KW - option pricing; fractional Black-Scholes model; time-dependent volatility; Girsanov theorem
UR - http://eudml.org/doc/281330
ER -