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

Zhidong Guo and Hongjun Yuan

Physica A: Statistical Mechanics and its Applications, 2014, vol. 406, issue C, 73-79

Abstract: 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.

Keywords: Option pricing; Mixed Brownian-fractional Brownian motion; Time-changed process (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:406:y:2014:i:c:p:73-79

DOI: 10.1016/j.physa.2014.03.032

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