European call option pricing under a mixed fractional Brownian motion environment

zbMATH Open1199.91234MaRDI QIDQ3402855FDOQ3402855

Authors: Zheng Yu, Litan Yan 

Publication date: 12 February 2010

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zbMATH Keywords

mixed fractional Brownian motionquasi-conditional expectationoption

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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