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...
Gorde:
| Egile Nagusiak: | , |
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| Formatua: | Artikulua |
| Argitaratua: |
Lviv Polytechnic National University
2022
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| Etiketak: |
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