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...
| Main Authors: | , |
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| Format: | Article |
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Lviv Polytechnic National University
2022
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| Online Access: | http://psasir.upm.edu.my/id/eprint/100579/ |
| _version_ | 1848863360667353088 |
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| author | S. N. I., Ibrahim M. F., Laham |
| author_facet | S. N. I., Ibrahim M. F., Laham |
| author_sort | S. N. I., Ibrahim |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T13:31:41Z |
| format | Article |
| id | upm-100579 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T13:31:41Z |
| publishDate | 2022 |
| publisher | Lviv Polytechnic National University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1005792023-11-21T08:10:46Z 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 |
| spellingShingle | S. N. I., Ibrahim M. F., Laham Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion |
| title | 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_short | 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 |
| url | http://psasir.upm.edu.my/id/eprint/100579/ http://psasir.upm.edu.my/id/eprint/100579/ http://psasir.upm.edu.my/id/eprint/100579/ |