Equity-linked securities option pricing by fractional Brownian motion

Wang, J; Yan, Y; Chen, WB; Shao, W; Tang, WW

Shao, W (corresponding author), Nanjing Univ Finance & Econ, Sch Econ, Nanjing 210023, Peoples R China.

CHAOS SOLITONS & FRACTALS, 2021; 144 ():

Abstract

In this paper, we use the Monte Carlo simulation (MCS) method to price the Equity-Linked Securities (ELS) option by fractional Brownian motion (fBm). ......

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