英文标题：
《Pricing European option with the short rate under Subdiffusive
fractional Brownian motion regime》
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作者：
Foad Shokrollahi
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最新提交年份：
2018
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英文摘要：
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the short rate in our option valuation model and derive explicit formula for call and put option and discuss the corresponding fractional Black-Scholes equation. We present some properties of this pricing model for the cases of $\\alpha$ and $H$. Moreover, the numerical simulations illustrate that our model is flexible and easy to implement.
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中文摘要：
本文的目的是分析短期利率服从次扩散分数Merton模型时的期权定价问题。我们将短期利率的随机性纳入我们的期权定价模型，推导了看涨期权和看跌期权的显式公式，并讨论了相应的分数阶Black-Scholes方程。对于$\\ alpha$和$\\ H$的情况，我们给出了该定价模型的一些性质。此外，数值模拟表明，我们的模型灵活且易于实现。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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