Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
Mixed fractional Brownian motion (MFBM) is a linear combination of a Brownian motion and an independent fractional Brownian motion which may overcome the problem of arbitrage, while a jump process in time series is another problem to be address in modeling stock prices. This study models call warra...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
Lviv Polytechnic National University
2022
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| Online Access: | http://psasir.upm.edu.my/id/eprint/100579/ https://science.lpnu.ua/mmc/all-volumes-and-issues/volume-9-number-4-2022/call-warrants-pricing-formula-under-mixed |
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