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

• 主要な著者: S. N. I., Ibrahim, M. F., Laham
• フォーマット: 論文
• 出版事項: Lviv Polytechnic National University 2022
• オンライン･アクセス: 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

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...