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Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps · Study

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ArticlePricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps

Wei-Guo Zhang2020

Article2020

Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps

Wei-Guo Zhang · Zhe Li · Yong-Jun Liu · Yue Zhang

33 citations·0/0 files stored·Computational Economics

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1975The concept of a linguistic variable and its application to approximate reasoning—II 2002A Jump-Diffusion Model for Option Pricing 1991Long-Term Memory in Stock Market Prices 1989Long-term Memory in Stock Market Prices

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2024Pricing Asian options under the mixed fractional Brownian motion with jumps 2021Equity-linked securities option pricing by fractional Brownian motion

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Year2020

Typearticle

Published2020-09-10

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10614-020-10043-z

openalex_workW3085654351

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