European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is established. Pricing formulas for European options are...
| Автори: | , , |
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| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
MDPI AG
2023-12-01
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| Серія: | Fractal and Fractional |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2504-3110/8/1/13 |