PENG Bin, PENG Fei. Pricing extendible option under jump-fraction process[J]. Journal of East China Normal University(Natural Sc, 2012, 2012(3): 30-40.
{1} BRENNAN M J, SCHWARTZ E S. Savings bonds,retractable bonds, and callable bonds[J]. Journal of FinancialEconomics, 1977(5): 67-88.{2} ANANTHANARAYANAN A L, SCHWARTZ E S. Retractableand extendible bonds: the Canadian experience[J]. Journal ofFinance, 1980, 35: 31-47.{3} LONGSTAL F A. Pricing options with extendiblematurities: analysis and applications[J]. Journal of Finance, 1990,45: 935-957.{4} MERTON R C. Option pricing when underlyingstock returns are discontinuous[J]. Journal of Financial Economics,1976(3): 125-144.{5} DIAS M A G, ROCHA K M C. Petroleum concessionswith extendible options using mean reversion with jumps to model oilprices[R]. Working paper, IPEA, Brazil. 2000.{6} GUKHAL C R. The compound option approach toAmercian option on jump-diffusions[J]. Journal of Economics Dynamicsand Control, 2004, 28: 2055-2074.{7} PETERS E. Fractal structure in the capitalmarkets[J]. Financial analyst Journal, 1989(7): 434-453.{8} DUNCAN T E, HU Y, PASIK-DUNCAN B. Stochasticcalculus for fractinal Brownian motion 1: Theory[J]. SIAM J ControlOptim, 2000, 38: 582-612.{9} NECULA C. Option pricing in a fractional Brownianmotion environment[R]. Academy of Economic Studies Bucharest,Romania, Preprint, 2002.{10} HU Y. Fractional white noise calculus andapplications to finance[C]// Infinite Dim Anal Quantum ProbabRelated Topics, 2003, 6(1): 1-32.{11} BAYRAKTAR E, POOR H V, SIRCAR K R.Estimating the fractal dimension of the S{\&}P500 index usingwavelet analysis[J]. International Journal of Theoretical andApplied Finance, 2004, 7(5): 615-643.{12} MENG L, WANG M. Comparison ofBlack--Scholes formula with fractional Black--Scholes formula in theforeign exchange option market with changing volatility[J].Financial Engineering and the Japanese Markets, 2010, 17(2): 99-111.{13} XIAO W L, ZHANG W G, ZHANG X L, et al.Pricing currency options in a fractional Brownian motion withjumps[J]. Economic Modelling, 2010, (27)5: 935-942.{14} LIU D Y, The option pricing of better-of optionsdriven by fractional Brownian motion and poisson jump process[J].Mathematical theory and applications, 2010(1): 22-26.{15} DAHLQUIST G, BJORCK A. Numerical Method[M].Englewood Cliffs: Prentice-Hall, 1974: 268-269.
中国综合性科技类核心期刊(北大核心)