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Option pricing by using a mixed fractional Brownian motion with jumps
| Content Provider | Scilit |
|---|---|
| Author | Gunardi Murwaningtyas, Chatarina Enny Kartiko, Sri Haryatmi Suryawan, Herry Pribawanto |
| Copyright Year | 2019 |
| Description | Journal: Journal of Physics: Conference Series Option pricing is conventionally based on a Brownian motion (Bm). The Bm is a semimartingale process with stationary and independent increments. However, there are several stock returns that have a long memory or have high autocorrelation for long lags. A fractional Brownian motion (fBm) is one of the models that can solve this problem, but a model option with fBm is not arbitrage-free. A mixed fractional Brownian motion (mfBm) is a linear combination of a Bm and an independent fBm which can overcome the arbitrage problem. A jump process in time series is another problem found in stock price modeling. This paper deals with the problem of options pricing by using mfBm with jumps. Based on quasi-conditional expectation and Fourier transform method, we obtain a pricing formula for a stock option. |
| Related Links | https://iopscience.iop.org/article/10.1088/1742-6596/1180/1/012011/pdf |
| ISSN | 17426588 |
| e-ISSN | 17426596 |
| DOI | 10.1088/1742-6596/1180/1/012011 |
| Journal | Journal of Physics: Conference Series |
| Issue Number | 1 |
| Volume Number | 1180 |
| Language | English |
| Publisher | IOP Publishing |
| Publisher Date | 2019-02-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: Journal of Physics: Conference Series Applied Mathematics Fractional Brownian Motion |
| Content Type | Text |
| Resource Type | Article |
| Subject | Physics and Astronomy |
