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
Pages
7
From page
73
To page
79
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
Serial Year
2014
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1738396
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