Pricing European option in a mixed bi-fractional Brownian motion

zbMATH Open1399.91116MaRDI QIDQ3175315FDOQ3175315

Authors: Jie Liu, Guangchen Zhang 

Publication date: 18 July 2018

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zbMATH Keywords

option pricingBlack-Scholes modelVasicek modelmixed bi-fractional Brownian motion

Mathematics Subject Classification ID

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

Cited In (14)

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• A weighted-fractional model to European option pricing
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• European call option pricing under a mixed fractional Brownian motion environment
• European option pricing under the G-Brownian motion environment
• Pricing of bi-direction European option under fractional Brownian motion with stochastic interest rates
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• Valuation of bid and ask prices for European options under mixed fractional Brownian motion
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• On option pricing in models driven by iterated integrals of Brownian motion
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