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- 2018
Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed JumpsKeywords: 62P05 Abstract: 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
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