OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

DOI10.1017/S0269964815000200zbMath1414.91387OpenAlexW2607254133MaRDI QIDQ5358061

B. L. S. Prakasa Rao

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964815000200

zbMATH Keywords

fractional Brownian motionoption pricingsuperimposed jumps

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• On the mixed fractional Brownian motion
• Chebyshev's inequality for Hilbert-space-valued random elements
• Mixed fractional Brownian motion
• Pricing currency options in the mixed fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Stochastic calculus for fractional Brownian motion and related processes.
• The absence of arbitrage in a model with fractal Brownian motion

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