Title of article :
Pricing European option under the time-changed mixed Brownian-fractional Brownian model
Author/Authors :
Guo، نويسنده , , Zhidong and Yuan، نويسنده , , Hongjun، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black–Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
Keywords :
Option Pricing , Time-changed process , Mixed Brownian-fractional Brownian motion
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications