A fractional Merton model for option pricing

ZHAOYaxiao; WANG Xiaotian

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A fractional Merton model for option pricing

ZHAOYaxiao 1 #,WANG Xiaotian 2 *

1.South China University of Technology,Guangzhou 510640

2.Department of Mathmatics,South China University of Technology,Guangzhou 510640

*Correspondence author

#Submitted by

Subject:

Funding: none

Opened online:20 December 2011

Accepted by: none

Citation: ZHAOYaxiao,WANG Xiaotian.A fractional Merton model for option pricing[OL]. [20 December 2011] http://en.paper.edu.cn/en_releasepaper/content/4454837

A model for option pricing of fractional version of the Merton model with 'Hurst exponent' being in is established. In particular, for we show that Hurst exponent does not play any role in option pricing in a continuous-time trading case.

Keywords:fractional Brownian motion; option pricing; jump

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