Results 1 to 10 of about 491 (82)
Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment
Fractal and Fractional, 2022 This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump.
Binxin Ji, Xiangxing Tao, Yanting Ji
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On the sub-mixed fractional Brownian motion [PDF]
Applied Mathematics-A Journal of Chinese Universities, 2015 Let ${S_t^H, t \geq 0} $ be a linear combination of a Brownian motion and of an independent sub-fractional Brownian motion with Hurst index $0 < H < 1$. Its main properties are studied and it is shown that $S^H $ can be considered as an intermediate process between a sub-fractional Brownian motion and a mixed fractional Brownian motion.
El-Nouty, Charles, Zili, Mounir
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MathematicsThe Black–Scholes model laid the mathematical foundation for modern option pricing; however, its assumptions—stationary, independent, and Gaussian returns—are frequently violated in real markets, where long-memory volatility and sudden price jumps are ...
Kai Zhang +5 more
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Fractal and FractionalThis paper develops a unified analytical approach for pricing a broad class of volatility-linked financial derivatives under the sub-mixed fractional geometric Brownian motion model.
Sanae Rujivan +2 more
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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AIMS Mathematics, 2022 <abstract> <p>This paper proposes a pricing model for equity warrants under the sub-mixed fractional Brownian motion regime with the interest rate following the Merton short rate model. By using the delta hedging strategy, the corresponding partial differential equations for equity warrants are obtained.
Xinyi Wang, Jingshen Wang, Zhidong Guo
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Nonparametric Regression with Subfractional Brownian Motion via Malliavin Calculus
Abstract and Applied Analysis, 2014 We study the asymptotic behavior of the sequence Sn=∑i=0n-1K(nαSiH1)(Si+1H2-SiH2), as n tends to infinity, where SH1 and SH2 are two independent subfractional Brownian motions with indices H1 and H2, respectively. K is a kernel function and the bandwidth
Yuquan Cang, Junfeng Liu, Yan Zhang
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Nonlocal Changing-Sign Perturbation Tempered Fractional Sub-Diffusion Model with Weak Singularity
Fractal and FractionalIn this paper, we study the existence of positive solutions for a changing-sign perturbation tempered fractional model with weak singularity which arises from the sub-diffusion study of anomalous diffusion in Brownian motion. By two-step substitution, we
Xinguang Zhang +4 more
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International Review of Economics & FinanceAs a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang +3 more
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Fractal barrier option pricing under sub-mixed fractional Brownian motion with jump processes
AIMS Mathematics<p>In this work, we mainly focused on the pricing formula for fractal barrier options where the underlying asset followed the sub-mixed fractional Brownian motion with jump, including the down-and-out call option, the down-and-out put option, the down-and-in call option, the down-and-in put option, and so on.
Chao Yue, Chuanhe Shen
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