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Pricing European option under the time-changed mixed Brownian-fractional Brownian model

This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black–Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
Year of publication:
2014
Authors: Guo, Zhidong ; Yuan, Hongjun
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 406.2014, C, p. 73-79
Publisher: Elsevier
Subject: Option pricing | Mixed Brownian-fractional Brownian motion | Time-changed process
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010872608
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