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...
محفوظ في:
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | مقال |
| منشور في: |
Lviv Polytechnic National University
2022
|
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| 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 |