Author
Chun-Xiong He
Bio: Chun-Xiong He is an academic researcher from South China University of Technology. The author has contributed to research in topics: Fractional Brownian motion & Valuation of options. The author has an hindex of 1, co-authored 1 publications receiving 22 citations.
Papers
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TL;DR: This paper construct equity warrants pricing model under Fractional Brownian motion, deduce the European options pricing formula with a simple method, then propose the warrants pricing formula, and extend it to cover equity warrants on a stock providing dividends.
Abstract: In this paper, we construct equity warrants pricing model under Fractional Brownian motion, deduce the European options pricing formula with a simple method, then propose the warrants pricing formula, and extend it to cover equity warrants on a stock providing dividends. Finally, taking Changdian warrant in Chinese stock market as an example, we illustrate that the results based on the new warrants pricing formula is more accuracy than the classical results based on traditional pricing model.
24 citations
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TL;DR: In this paper, the problem of pricing European currency options in the mixed fractional Brownian environment is dealt with and both the pricing formula and the mixed-fractional partial differential equation for European call currency options are obtained.
Abstract: This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.
53 citations
TL;DR: In this article, the authors proposed a general foreign equity option pricing framework that unifies the vast foreign-equity option pricing literature and incorporates the stochastic volatility into FEE pricing, where the time-changed Levy processes are used to model the underlying assets price of foreign equity options and the closed form pricing formula is obtained through the use of characteristic function methodology.
Abstract: In this paper we propose a general foreign equity option pricing framework that unifies the vast foreign equity option pricing literature and incorporates the stochastic volatility into foreign equity option pricing. Under our framework, the time-changed Levy processes are used to model the underlying assets price of foreign equity option and the closed form pricing formula is obtained through the use of characteristic function methodology. Numerical tests indicate that stochastic volatility has a dramatic effect on the foreign equity option prices.
15 citations
TL;DR: A pricing formula is derived for geometric Asian option when the underlying stock follows a time changed mixed fractional Brownian motion and it is applied to price Asian power options on the stocks that pay constant dividends when the payoff is a power function.
14 citations
TL;DR: In this paper, a combination of maximum likelihood approach and Powell's method was used to estimate the parameters of mixed Brownian-fractional Brownian motions. But the performance of this method was not compared with the approach proposed by Filatova (2008).
10 citations
10 citations