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

DOI10.3390/AXIOMS8020039zbMath1432.91125arXiv1708.04829OpenAlexW2963458721MaRDI QIDQ2306304

Foad Shokrollahi

Publication date: 23 March 2020

Published in: Axioms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.04829

zbMATH Keywords

Poisson processpricingmixed fractional Brownian motionextendible and compound options

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 (1)

THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE

Cites Work

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• A note on Wick products and the fractional Black-Scholes model
• Cross-correlations between volume change and price change
• Option pricing when underlying stock returns are discontinuous

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