Citation
S. N. I., Ibrahim and M. F., Laham
(2022)
Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion.
Mathematical Modeling and Computing, 9 (4).
892 - 897.
ISSN 2312-9794; ESSN: 2415-3788
Abstract
Mixed fractional Brownian motion (MFBM) is a linear combination of a Brownian motion and an independent fractional Brownian motion which may overcome the problem of arbitrage, while a jump process in time series is another problem to be address in modeling stock prices. This study models call warrants with MFBM and includes the jump process in its dynamics. The pricing formula for a warrant with mixed-fractional Brownian motion and jump, is obtained via quasi-conditional expectation and risk-neutral valuation.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.23939/mmc2022.04.892 |
| Publisher: | Lviv Polytechnic National University |
| Keywords: | Mixed-fractional Brownian motion; Merton jump diffusion; Call warrant |
| Depositing User: | Ms. Nur Faseha Mohd Kadim |
| Date Deposited: | 21 Nov 2023 08:10 |
| Last Modified: | 21 Nov 2023 08:10 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.23939/mmc2022.04.892 |
| URI: | http://psasir.upm.edu.my/id/eprint/100579 |
| Statistic Details: | View Download Statistic |
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