$Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion$
QR Code

QR Code

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...

Full description

Bibliographic Details
Main Authors:	S. N. I., Ibrahim, M. F., Laham
Format:	Article
Published:	Lviv Polytechnic National University 2022
Online Access:	http://psasir.upm.edu.my/id/eprint/100579/

Similar Items

Pricing currency option in a mixed fractional Brownian motion with jumps environment
by: Shokrollahi, Foad, et al.
Published: (2014)

Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
by: Shokrollahi, Foad, et al.
Published: (2015)

Pricing currency options by generalizations of the mixed fractional brownian motion
by: Shokrollahi, Foad
Published: (2016)

Pricing formula for power options under jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)

Pricing formula for power options with jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2016)

Properties of fractional Brownian motions for modeling stock prices

Geometric fractional Brownian motion model for commodity market simulation
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2021)

Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators
by: Balasubramaniam, Srivennila Sri, et al.
Published: (2023)

Analytical formula of European-style power call options in an MFBM with jumps model
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2022)

The valuation of currency options by fractional Brownian motion
by: Shokrollahi, Foad, et al.
Published: (2016)

Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
by: Ibrahim, S. N. I., et al.
Published: (2022)

Estimating dynamic geometric fractional brownian motion and its application to long-memory option pricing
by: Misiran, M., et al.
Published: (2012)

Modeling of American-style Asian option under jump-diffusion process
by: Laham, Mohamed Faris
Published: (2024)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
by: Laham, Mohamed Faris, et al.
Published: (2020)

Optimal Filtering of Linear System Driven by Fractional Brownian Motion
by: Misiran, Masnita, et al.
Published: (2010)

Penalty method for pricing American-style Asian option with jumps diffusion process
by: Ibrahim, S. N. I., et al.
Published: (2023)

Modelling Malaysian gold prices using geometric brownian motion model
by: Hamdan, Zawin Najah, et al.
Published: (2020)

Testing the biased geometric Brownian motion
by: Danswasvong, Thepdanai
Published: (2009)

Defaultable bond pricing under the jump diffusion model with copula dependence structure
by: Siti Norafidah Mohd Ramli,, et al.
Published: (2020)

Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India
by: Krishna Prasad,, et al.
Published: (2022)

Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India
by: Prasad, Krishna, et al.
Published: (2022)

An Emppirical Study on Asymmetric Jump Diffusion For Option and Annuity Pricing
by: Lau, Kein Joe
Published: (2018)

On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
by: Rodkina, A., et al.
Published: (2015)

A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
by: Li, S., et al.
Published: (2014)

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process
by: Liu, Xudong
Published: (2014)

Geometric Brownian motion and calculation of option premium in black scholes model
by: Mat, Izzati, et al.
Published: (2011)

The pricing efficiency of equity warrants: a Malaysian case
by: Haron, Razali
Published: (2006)

Intraday Price And Volume Relations In The Stock And Warrant Markets
by: LIM, KOK SEE
Published: (2004)

An Investigation Of The Impacts Of Warrant Issue On The Underlying Stocks
by: Yip, Yen Yen
Published: (2005)

Performance of Brownian-Motion-Generated universal portfolios during covid-19 pandemic
by: Khor, Wei Sheng
Published: (2022)

Fuzzy time series and geometric brownian motion in forecasting stock prices in Bursa Malaysia / Nur Ezzati Dayana Mohd Ramli
by: Mohd Ramli, Nur Ezzati Dayana
Published: (2020)

The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis
by: Müller, G., et al.
Published: (2011)

Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
by: Che Mat, Basyirah
Published: (2016)

Autocorrelated process control: Geometric Brownian Motion approach versus Box-Jenkins approach
by: Salleh, R. M., et al.
Published: (2018)

A review on Black-Scholes model in pricing warrants in Bursa Malaysia
by: Indra Gunawan, Nur Izzaty Ilmiah, et al.
Published: (2016)

Studies of The Impact of Warrant Financing on Corporations and The Determinants That Affect The Warrant Issues
by: Yeung, Chi Man
Published: (2010)

Studies of The Impact of Warrant Financing on Corporations and The Determinants That Affect The Warrant Issues
by: Yeung, Chi Man
Published: (2010)

Weak Euler Approximation for Ito Diffusion and Jump Processes
by: Mikulevicius, R., et al.
Published: (2015)

Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia
by: Hong, Boon Kyun
Published: (2004)