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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: S. N. I., Ibrahim, M. F., Laham
Format: Article
Published: Lviv Polytechnic National University 2022
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id oai:psasir.upm.edu.my:100579
record_format eprints
spelling oai:psasir.upm.edu.my:100579 http://psasir.upm.edu.my/id/eprint/100579/ Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion S. N. I., Ibrahim M. F., Laham 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 warrants with MFBM and includes the jump process in its dynamics. The pricing formula for a warrant with mixed-fractional Brownian motion and jump, is obtained via quasi-conditional expectation and risk-neutral valuation. Lviv Polytechnic National University 2022 Article PeerReviewed S. N. I., Ibrahim and M. F., Laham (2022) Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion. Mathematical Modeling and Computing, 9 (4). 892 - 897. ISSN 2312-9794; ESSN: 2415-3788 https://science.lpnu.ua/mmc/all-volumes-and-issues/volume-9-number-4-2022/call-warrants-pricing-formula-under-mixed 10.23939/mmc2022.04.892
institution UPM IR
collection UPM IR
description 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 warrants with MFBM and includes the jump process in its dynamics. The pricing formula for a warrant with mixed-fractional Brownian motion and jump, is obtained via quasi-conditional expectation and risk-neutral valuation.
format Article
author S. N. I., Ibrahim
M. F., Laham
spellingShingle S. N. I., Ibrahim
M. F., Laham
Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
author_facet S. N. I., Ibrahim
M. F., Laham
author_sort S. N. I., Ibrahim
title Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
title_short Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
title_full Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
title_fullStr Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
title_full_unstemmed Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
title_sort call warrants pricing formula under mixed-fractional brownian motion with merton jump-diffusion
publisher Lviv Polytechnic National University
publishDate 2022
_version_ 1819301200595517440
score 13.4562235

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