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Sub mixed fractional Brownian motion and its application to finance · Study

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ArticleSub mixed fractional Brownian motion and its application to finance

Alireza Najafi2024

Article2024

Sub mixed fractional Brownian motion and its application to finance

Alireza Najafi · José Francisco Gómez-Aguilar

17 citations·0/0 files stored·Chaos Solitons & Fractals

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 2006Some properties of the sub-fractional Brownian motion 2009Black-Scholes Formula in Subdiffusive Regime 2020Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing 2012Geometric Brownian Motion with Tempered Stable Waiting Times 2015On the sub-mixed fractional Brownian motion 2016Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs 2021Pricing geometric asian power options in the sub-fractional brownian motion environment

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Details

Year2024

Typearticle

Published2024-05-13

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.chaos.2024.114968

openalex_workW4396880921

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