Pricing compound and extendible options under mixed fractional Brownian motion with jumps

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dc.contributor.authorShokrollahi, Foad
dc.contributor.departmentVebic-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-01-21T13:43:38Z
dc.date.accessioned2025-06-25T12:57:52Z
dc.date.available2020-01-21T13:43:38Z
dc.date.issued2019-04-03
dc.description.abstractThis 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent12-
dc.identifier.olddbid11227
dc.identifier.oldhandle10024/10348
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1237
dc.identifier.urnURN:NBN:fi-fe202001212919-
dc.language.isoeng-
dc.publisherMDPI-
dc.relation.doi10.3390/axioms8020039-
dc.relation.ispartofjournalAxioms-
dc.relation.issn2075-1680-
dc.relation.issue2-
dc.relation.urlhttps://doi.org/10.3390/axioms8020039-
dc.relation.volume8-
dc.rightsCC BY 4.0-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/10348
dc.subjectpricing-
dc.subjectmixed fractional Brownian motion-
dc.subjectextendible and compound options-
dc.subjectpoisson process-
dc.subject.olddisciplineMatematiikka-
dc.titlePricing compound and extendible options under mixed fractional Brownian motion with jumps-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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