%0 Journal Article
%T Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed Jumps
%A B.L.S. Prakasa Rao
%J Calcutta Statistical Association Bulletin
%@ 2456-6462
%D 2018
%R 10.1177/0008068318769179
%X Abstract It has been observed that the stock price process can be modelled with driving force as a mixed fractional Brownian motion (mfBm) with Hurst index H > 3 / 4 whenever long-range dependence is possibly present. We propose a geometric mfBm model for the stock price process with possible jumps superimposed by an independent Poisson process
%K 62P05
%U https://journals.sagepub.com/doi/full/10.1177/0008068318769179