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-  2018 

Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed Jumps

DOI: 10.1177/0008068318769179

Keywords: 62P05

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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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