Quanto Option Pricing Models in Bifractional Stochastic Interest Rate
LIU Shuqin
XUE Hong
Abstract：It is assumed that the stock price and exchange satisfies stochastic differential equation driven by bi-fractional Brownian motion. The interest rate satisfies the Vasicek model,by using the stochastic analysis theory for bi-fractional Brownian motion and the method of actuarial mathematics,the financial market mathematical model is built. And the pricing formula of quan?to option under bi-fractional stochastic interest rate is obtained. The result of the quanto option pricing formula in fractional Brown?ian motion is extended.
Keywords：bi-fractional Brownian motionstochastic interest ratequanto optionactuarial mathematics
Publication Date：2019-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：5( 1874-1877,1946 )