Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
نویسندگان
چکیده
Mixed fractional Brownian motion (MFBM) is a linear combination of and an independent which may overcome the problem arbitrage, while jump process in time series another to be address modeling stock prices. This study models call warrants with MFBM includes its dynamics. The pricing formula for warrant mixed-fractional jump, obtained via quasi-conditional expectation risk-neutral valuation.
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ژورنال
عنوان ژورنال: Mathematical modeling and computing
سال: 2022
ISSN: ['2312-9794', '2415-3788']
DOI: https://doi.org/10.23939/mmc2022.04.892