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...
Kaydedildi:
| Asıl Yazarlar: | , , , , , |
|---|---|
| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
MDPI AG
2026-05-01
|
| Seri Bilgileri: | Mathematics |
| Konular: | |
| Online Erişim: | https://www.mdpi.com/2227-7390/14/10/1641 |
| Etiketler: |
Etiket eklenmemiş, İlk siz ekleyin!
|