Valuation of bid and ask prices for European options under mixed fractional Brownian motion

Valuation of bid and ask prices for European options under mixed fractional Brownian motion

In this paper, we study the valuation of the bid and ask prices for European options under the mixed fractional Brownian motion with Hurst index H>3/4, which is able to capture the long range dependence of the underlying asset returns in real markets. As we know, the classical option pricing theo...

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Bibliographic Details
Main Authors: Zhe Li, Xiao-Tian Wang
Format: Article
Language:English
Published: AIMS Press 2021-05-01
Series:AIMS Mathematics
Subjects:
conic finance
option pricing
mixed fractional brownian motion
bid-ask spreads
wang-transform
Online Access:http://www.aimspress.com/article/doi/10.3934/math.2021422?viewType=HTML

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http://www.aimspress.com/article/doi/10.3934/math.2021422?viewType=HTML

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