Analytical formula of European-style power call options in an MFBM with jumps model

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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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Bibliographic Details
Main Authors:	Ibrahim, Siti Nur Iqmal, Kilicman, Adem, Laham, Mohamed Faris
Format:	Article
Published:	RMP Publications 2022
Online Access:	http://psasir.upm.edu.my/id/eprint/100217/

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