Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model

DOI10.1016/J.CAM.2022.114496MaRDI QIDQ2161063zbMATH OpenOpenAlexFDO

Authors Kyong-Hui Kim, Su-Hyang Kim, Ho-Bom Jo

Publication date 4 August 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.114496

zbMATH Keywords

mixed fractional Brownian motionmixed hedging strategyoption pricingtime-changed process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(11)

• Option pricing and portfolio hedging under the mixed hedging strategy
• Mixed fractional Heston model and the pricing of American options
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• Option pricing in fractional models
• OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
• A long-memory version of the bergomi model: pricing and calibration for American put option
• Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
• Hedging approaches on the non-stationary market with liquidity constraints under sub mixed fractional model
• European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate
• Pricing Asian options under the generalized fractional Brownian motion model

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