Abstract:

The price model under the It óf ormula for mixed fractional Brownian motion was proposed. Then the stochastic differential equation for mixed fractional Brownian motion was obtained by the price model, which meets the pricing model for the European floating strike price of the lookback option. The pricing formulas of floating strike lookback call option and lookback put option were proved.

Key words: mixed fractional Brownian motion; European lookback option; Itó formula; pricing model