Valuation of bid and ask prices for European options under mixed fractional Brownian motion

DOI10.3934/math.2021422zbMath1484.91484OpenAlexW3158334605MaRDI QIDQ2130778

Xiao-Tian Wang, Zhe Li

Publication date: 25 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2021422

zbMATH Keywords

option pricingmixed fractional Brownian motionbid-ask spreadsconic financeWANG transform

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)

Related Items (3)

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

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