An Approximate Formula for Pricing American Option in the Fractional Black-Scholes Model

作者:Lin Hanyan*
来源:9th International Conference on Measuring Technology and Mechatronics Automation (ICMTMA), 2017-01-14 to 2017-01-15.
DOI:10.1109/ICMTMA.2017.68

摘要

In this paper, an approximate formula for the value of American option with a stock price driven by a geometric fractional Black-Scholes model is derived. A special case of the model would be the model driven by the standard Brownian motion.

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