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Deng, G.H. and Lin, H.Y. (2008) Pricing American Put Option in a Fractional Black-Scholes Model via Compound Option Approximation. Advance in Systems Science and Applications, 8, 447-456.

has been cited by the following article:

• TITLE: Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate

  AUTHORS: Jin Li, Kaili Xiang, Chuanyi Luo

  KEYWORDS: Stochastic Rate, Fractional Jump-Diffusion Process, Fractional Brown Motion, Power Option

  JOURNAL NAME: Applied Mathematics, Vol.5 No.16, August 29, 2014

  ABSTRACT: In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.