Analytical formula of European-style power call options in an MFBM with jumps model
Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power...
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| Format: | Article |
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RMP Publications
2022
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| Online Access: | http://psasir.upm.edu.my/id/eprint/100217/ |
| _version_ | 1848863265817362432 |
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| author | Ibrahim, Siti Nur Iqmal Kilicman, Adem Laham, Mohamed Faris |
| author_facet | Ibrahim, Siti Nur Iqmal Kilicman, Adem Laham, Mohamed Faris |
| author_sort | Ibrahim, Siti Nur Iqmal |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process. |
| first_indexed | 2025-11-15T13:30:11Z |
| format | Article |
| id | upm-100217 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T13:30:11Z |
| publishDate | 2022 |
| publisher | RMP Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1002172024-07-11T02:49:52Z http://psasir.upm.edu.my/id/eprint/100217/ Analytical formula of European-style power call options in an MFBM with jumps model Ibrahim, Siti Nur Iqmal Kilicman, Adem Laham, Mohamed Faris Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process. RMP Publications 2022-12-30 Article PeerReviewed Ibrahim, Siti Nur Iqmal and Kilicman, Adem and Laham, Mohamed Faris (2022) Analytical formula of European-style power call options in an MFBM with jumps model. Journal of Engineering and Science Research, 6 (6). art. no. 8. 84 - 87. ISSN 2289-7127 https://www.jesrjournal.com/volume-6-issue-6-2022.html 10.26666/rmp.jesr.2022.6.8 |
| spellingShingle | Ibrahim, Siti Nur Iqmal Kilicman, Adem Laham, Mohamed Faris Analytical formula of European-style power call options in an MFBM with jumps model |
| title | Analytical formula of European-style power call options in an MFBM with jumps model |
| title_full | Analytical formula of European-style power call options in an MFBM with jumps model |
| title_fullStr | Analytical formula of European-style power call options in an MFBM with jumps model |
| title_full_unstemmed | Analytical formula of European-style power call options in an MFBM with jumps model |
| title_short | Analytical formula of European-style power call options in an MFBM with jumps model |
| title_sort | analytical formula of european-style power call options in an mfbm with jumps model |
| url | http://psasir.upm.edu.my/id/eprint/100217/ http://psasir.upm.edu.my/id/eprint/100217/ http://psasir.upm.edu.my/id/eprint/100217/ |