Binary options pricing model in the mixed fractional Brownian motion environment
FU Pei
SUN Lin
Abstract：Binary options are options that have only the corresponding value of the underlying asset's price, therefore have a discontinuity income of popular exotic option. In order to describe the long memory of the underlying asset and to eliminate the arbitrage in the financial market, this paper assumes that the underlying asset is subject to mixed fractional brown motion, binary option pricing model in the mixed fractional Brownian motion environment is obtained by using the martingale technique and stochastic analysis method. In order to understand the pricing model better, this paper analyzes the influence of Hurst index on pricing results.
Keywords：mixed fractional brownian motionbinary optionpricing modelquasi-conditional expectation
Publication Date：2018-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 13-19 )