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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Hlavní autoři:	Zhidong Guo, Yang Liu, Linsong Dai
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2023-12-01
Edice:	Fractal and Fractional
Témata:	discrete-time model sub-fractional Brownian motion delta hedging mixed hedging hedging error ratio
On-line přístup:	https://www.mdpi.com/2504-3110/8/1/13
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