"mixed fractional Brownian motion" - Selaus asiasanan mukaanArtikkelit
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Mixed fractional Merton model to evaluate European options with transaction costs
(Scientific Research Publishing, 11 / 2018)
articleThis paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European ... -
Pricing compound and extendible options under mixed fractional Brownian motion with jumps
(MDPI, 03.04.2019)
articleThis study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral ...
