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...
Saved in:
| Main Authors: | , , |
|---|---|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|