Pricing european option under the time-changed mixed Brownian-fractional Brownian model

DOI10.1016/j.physa.2014.03.032zbMath1402.91786OpenAlexW1979156379MaRDI QIDQ1782839

Zhidong Guo, Hongjun Yuan

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.03.032

zbMATH Keywords

option pricingtime-changed processmixed Brownian-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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