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

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 fracti...

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Bibliographic Details

Published in:	Journal of Hyperstructures
Main Authors:	Kyong-Hui Kim, Myong-Guk Sin, Un-Hua Chong
Format:	Article
Language:	English
Published:	University of Mohaghegh Ardabili 2014-12-01
Subjects:	pricing formula exchange option fractional black-scholes model jump noise
Online Access:	https://jhs.uma.ac.ir/article_2588_8c885e9d7e317cb3b14f3bab69f03369.pdf