Pricing formula for exchange option in fractional black-scholes model with jumps

Document Type : Research Paper

Authors

Faculty of Mathematics, University of Kim Il Sung University, Pyongyang, D.P.R. Korea

Abstract

In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to pricing formula for exchange option in fractional Black-Scholes model with jumps.

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References

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Journal of Hyperstructures
Volume 3, Issue 2
December 2014
Pages 155-164

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