English, Article, Journal or magazine article edition: Barrier Options and a Reflection Principle of the Fractional Brownian Motion Cipian Necula

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Bookmark: http://trove.nla.gov.au/version/198161
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Barrier Options and a Reflection Principle of the Fractional Brownian Motion
Author
  • Cipian Necula
Physical Description
  • preprint
Notes
  • The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.
  • fractional Brownian motion, fractional Black-Scholes market, quasiconditional expectation
  • RePEc:cab:wpaefr:6
Language
  • English
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