Geodesic
Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility
Adrian Falkowski1
1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 61 (2013) no. 2, pp. 181-193

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/ba61-2-12
Keywords: study actuarial methods option pricing fractional black scholes model time dependent volatility interpret option potential loss fair premium needed insure loss coincides expectation discounted claim payoff under average risk neutral measure

Adrian Falkowski 1

1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University Chopina 12/18 87-100 Toruń, Poland 
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Adrian Falkowski. Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 61 (2013) no. 2, pp. 181-193. doi: 10.4064/ba61-2-12

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