封面圖片

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:

書目詳細資料
Main Authors:	Ibrahim, Siti Nur Iqmal, Kilicman, Adem, Laham, Mohamed Faris
格式:	Article
出版:	RMP Publications 2022
在線閱讀:	http://psasir.upm.edu.my/id/eprint/100217/ https://www.jesrjournal.com/volume-6-issue-6-2022.html
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Pricing formula for power options with jump-diffusion
由: Ibrahim, Siti Nur Iqmal, et al.
出版: (2016)

Pricing formula for power options under jump-diffusion
由: Ibrahim, Siti Nur Iqmal, et al.
出版: (2015)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
由: Laham, Mohamed Faris, et al.
出版: (2020)

$Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion$

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
由: S. N. I., Ibrahim, et al.
出版: (2022)

Penalty method for pricing American-style Asian option with jumps diffusion process
由: Ibrahim, S. N. I., et al.
出版: (2023)

$Pricing currency option in a mixed fractional Brownian motion with jumps environment$

Pricing currency option in a mixed fractional Brownian motion with jumps environment
由: Shokrollahi, Foad, et al.
出版: (2014)

$Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option$

Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
由: Shokrollahi, Foad, et al.
出版: (2015)

Credible delta gamma (Theta) normal value at risk for assessing European call option risk
由: Sulistianingsih, Evy, et al.
出版: (2024)

Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad
由: Abdul Rahman, Anisah, et al.
出版: (2012)

Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
由: Siow, Woon Jeng, et al.
出版: (2020)

$Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform$

Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
由: Elbeleze, Asma Ali, et al.
出版: (2013)

Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform
由: Asma Ali, Elbeleze,, et al.
出版: (2015)

Pricing holder-extendable call options with mean-reverting stochastic volatility
由: Ibrahim, Siti Nur Iqmal, et al.
出版: (2015)

An Emppirical Study on Asymmetric Jump Diffusion For Option and Annuity Pricing
由: Lau, Kein Joe
出版: (2018)

Fourier-based approach for power options valuation
由: Ibrahim, Siti Nur Iqmal, et al.
出版: (2019)

A comparison on the commutative neutrix convolution of distributions and the exchange formula
由: Kiliçman, Adem
出版: (2001)

Exact formula for distribution of sequences {ωn}
由: Shahverdian, Ashot, et al.
出版: (2013)

The valuation of knock-out power calls under Black-Scholes framework
由: Sawal, A. S., et al.
出版: (2022)

$The valuation of currency options by fractional Brownian motion$

The valuation of currency options by fractional Brownian motion
由: Shokrollahi, Foad, et al.
出版: (2016)

Building fuzzy variance gamma option pricing models with jump levy process
由: Zhang, H., et al.
出版: (2018)

Building fuzzy variance gamma option pricing models with jump levy process
由: Zhang, H., et al.
出版: (2018)

Pricing down-and-out power options with exponentially curved barrier
由: Ng, Teck Wee, et al.
出版: (2018)

Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
由: Wei, Sin Koh, et al.
出版: (2010)

Pricing of American call options using regression and numerical integration
由: Beh, Woan Lin, et al.
出版: (2014)

SPX calibration of option approximations under rough Heston model
由: Siow, Woon Jeng, et al.
出版: (2021)

Fuzzy Levy-GJR-GARCH American option pricing model based on an infinite pure jump process
由: Zhang, H., et al.
出版: (2018)

Fuzzy Levy-GJR-GARCH American option pricing model based on an infinite pure jump process
由: Zhang, H., et al.
出版: (2018)

Certain integral formulae associated with the product of generalized hypergeometric series and several elementary functions derived from formulas for the beta function
由: Choi, Junesang, et al.
出版: (2022)

On a new class of summation formulas involving the generalized hypergeometric 2F2 polynomial
由: Rathie, Arjun Kumar, et al.
出版: (2014)

Greeks and partial differential equations for some pricing currency options models
由: Shokrollahi, Foad, et al.
出版: (2015)

On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model
由: Siow, Woon Jeng, et al.
出版: (2021)

Implied volatility in the individual stocks call options market: evidence from Malaysia
由: Mohamad, Azhar, et al.
出版: (2018)

Pricing of American call options using simulation and numerical analysis / Beh Woan Lin
由: Beh, Woan Lin
出版: (2011)

Comparison between squat jump and countermovement jump towards jumping performance among volleyball players / Nur Afiqah Aris
由: Aris, Nur Afiqah
出版: (2017)

On an unified reduction formula for Srivastava's triple hypergeometric series F(3)[x, y, z]
由: Yong, Sup Kim, et al.
出版: (2018)

Formulation of an AI-Based Call Analytics Model for Analysing Mixed-Language Customer Calls
由: Dewi D.A., et al.
出版: (2025)

Purchasing power parity in Central and Eastern European countries.
由: Baharumshah, Ahmad Zubaidi, et al.
出版: (2008)

Export jump in July
由: Anon
出版: (2018)

All jump for Eddy
由: Anon
出版: (2019)

The maritime dimension of European security: seapower and the European Union.
由: Shukri, Shazwanis
出版: (2016)