Pricing compound and extendible options under mixed fractional Brownian motion with jumps (Q2306304)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing compound and extendible options under mixed fractional Brownian motion with jumps |
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Pricing compound and extendible options under mixed fractional Brownian motion with jumps (English)
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23 March 2020
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Summary: 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.
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pricing
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mixed fractional Brownian motion
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extendible and compound options
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Poisson process
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