Barrier Options and a Reflection Principle of the Fractional Brownian Motion

Ciprian Necula

No 6, Advances in Economic and Financial Research - DOFIN Working Paper Series from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB

Abstract: 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.

Keywords: fractional Brownian motion; fractional Black-Scholes market; quasiconditional expectation (search for similar items in EconPapers)
JEL-codes: C02 C60 G12 G13 (search for similar items in EconPapers)
Date: 2008-04

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