Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility
Adrian Falkowski
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 61 (2013), p. 181-193 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2013-01-01
EUDML-ID : urn:eudml:doc:281330 
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     title = {Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility},
     journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
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     year = {2013},
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     language = {en},
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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, Tome 61 (2013) pp. 181-193. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba61-2-12/