Pricing compound and extendible options under mixed fractional Brownian motion with jumps
Pysyvä osoite
Kuvaus
This 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 measure. Then, these results are applied to value extendible options. Moreover, some special cases of the formula are discussed, and numerical results are provided.
Emojulkaisu
ISBN
ISSN
2075-1680
Aihealue
Kausijulkaisu
Axioms|8
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
