Open AccessBarrier Options and a Reflection Principle of the Fractional Brownian Motion
Author(s) -
Ciprian Necula
Publication year - 2003
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1286834
Subject(s) - reflection principle (wiener process) , fractional brownian motion , reflection (computer programming) , brownian motion , statistical physics , geometric brownian motion , mathematics , classical mechanics , physics , diffusion process , economics , computer science , statistics , economy , programming language , service (business)
The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.
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