Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment

Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment

This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump. By applying the corresponding <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline">...

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Bibliographic Details
Main Authors: Binxin Ji, Xiangxing Tao, Yanting Ji
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Fractal and Fractional
Subjects:
barrier options
sub-mixed fractional Brownian motion
jump diffusion
Online Access:https://www.mdpi.com/2504-3110/6/5/244

Internet

https://www.mdpi.com/2504-3110/6/5/244

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