Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility

Tom 61 / 2013

Adrian Falkowski Bulletin Polish Acad. Sci. Math. 61 (2013), 181-193 MSC: Primary 91B70; Secondary 60G15, 60G22. DOI: 10.4064/ba61-2-12

Streszczenie

We study actuarial methods of option pricing in a fractional Black–Scholes model with time-dependent volatility. We interpret the option as a potential loss and we show that the fair premium needed to insure this loss coincides with the expectation of the discounted claim payoff under the average risk neutral measure.

Autorzy

  • Adrian FalkowskiFaculty of Mathematics and Computer Science
    Nicolaus Copernicus University
    Chopina 12/18
    87-100 Toruń, Poland
    e-mail

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