European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time

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...

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Bibliographic Details
Main Authors: Zhidong Guo, Yang Liu, Linsong Dai
Format: Article
Language:English
Published: MDPI AG 2023-12-01
Series:Fractal and Fractional
Subjects:
discrete-time model
sub-fractional Brownian motion
delta hedging
mixed hedging
hedging error ratio
Online Access:https://www.mdpi.com/2504-3110/8/1/13

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https://www.mdpi.com/2504-3110/8/1/13

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