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Analytical formula of European-style power call options in an MFBM with jumps model

Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power...

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Main Authors: Ibrahim, Siti Nur Iqmal, Kilicman, Adem, Laham, Mohamed Faris
Format: Article
Published: RMP Publications 2022
Online Access:http://psasir.upm.edu.my/id/eprint/100217/
https://www.jesrjournal.com/volume-6-issue-6-2022.html
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spelling my.upm.eprints.1002172024-07-11T02:49:52Z http://psasir.upm.edu.my/id/eprint/100217/ Analytical formula of European-style power call options in an MFBM with jumps model Ibrahim, Siti Nur Iqmal Kilicman, Adem Laham, Mohamed Faris Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process. RMP Publications 2022-12-30 Article PeerReviewed Ibrahim, Siti Nur Iqmal and Kilicman, Adem and Laham, Mohamed Faris (2022) Analytical formula of European-style power call options in an MFBM with jumps model. Journal of Engineering and Science Research, 6 (6). art. no. 8. 84 - 87. ISSN 2289-7127 https://www.jesrjournal.com/volume-6-issue-6-2022.html 10.26666/rmp.jesr.2022.6.8
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
description Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process.
format Article
author Ibrahim, Siti Nur Iqmal
Kilicman, Adem
Laham, Mohamed Faris
spellingShingle Ibrahim, Siti Nur Iqmal
Kilicman, Adem
Laham, Mohamed Faris
Analytical formula of European-style power call options in an MFBM with jumps model
author_facet Ibrahim, Siti Nur Iqmal
Kilicman, Adem
Laham, Mohamed Faris
author_sort Ibrahim, Siti Nur Iqmal
title Analytical formula of European-style power call options in an MFBM with jumps model
title_short Analytical formula of European-style power call options in an MFBM with jumps model
title_full Analytical formula of European-style power call options in an MFBM with jumps model
title_fullStr Analytical formula of European-style power call options in an MFBM with jumps model
title_full_unstemmed Analytical formula of European-style power call options in an MFBM with jumps model
title_sort analytical formula of european-style power call options in an mfbm with jumps model
publisher RMP Publications
publishDate 2022
url http://psasir.upm.edu.my/id/eprint/100217/
https://www.jesrjournal.com/volume-6-issue-6-2022.html
_version_ 1805889503977537536
score 13.250246

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