• 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