Closed-Form Pricing of European Call Options Under a Sub-Mixed Fractional Brownian Motion with Jumps via Three Pricing Approaches
The Black–Scholes model laid the mathematical foundation for modern option pricing; however, its assumptions—stationary, independent, and Gaussian returns—are frequently violated in real markets, where long-memory volatility and sudden price jumps are well-documented. Two issues remain open: (1) Few...
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| Autors principals: | , , , , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2026-05-01
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| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/14/10/1641 |
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