Option pricing is one of the important issues in financial mathematics.Binary option is a novel type of option with discontinuous returns.As an important new type of option,binary option makes asset returns more suitable for investors'needs,and provides an effective tool for studying complex options.In the present option pricing models,the random driving sources of the underlying asset's price change are usually Brownian motion and fractional Brownian motion,which either can-not describe the constant cyclical characteristics of the underlying asset.Therefore,in order to solve this problem,we study the pricing of binary option products based on sub-diffusive process and establish a binary option pricing model under the sub-dif-fusive regime.The partial differential equation satisfied by the binary option under the sub-diffusive regime are obtained by us-ing Delta hedging technique and Itô formula.And the pricing formulas of asset-or-nothing call options and cash-or-nothing call options are given.
sub-diffusive processbinary optionsDelta hedging techniqueItô formula
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