Citation
Ibrahim, Siti Nur Iqmal and Kilicman, Adem and Laham, Mohamed Faris
(2022)
Analytical formula of European-style power call options in an MFBM with jumps model.
Journal of Engineering and Science Research, 6 (6).
art. no. 8.
84 - 87.
ISSN 2289-7127
Abstract
Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.26666/rmp.jesr.2022.6.8 |
| Publisher: | RMP Publications |
| Keywords: | European-style options; Power calls; Mixed-fractional brownian motion; Jumps process |
| Depositing User: | Ms. Nur Faseha Mohd Kadim |
| Date Deposited: | 11 Jul 2024 02:49 |
| Last Modified: | 11 Jul 2024 02:49 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.26666/rmp.jesr.2022.6.8 |
| URI: | http://psasir.upm.edu.my/id/eprint/100217 |
| Statistic Details: | View Download Statistic |
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