| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481397 | Physica A: Statistical Mechanics and its Applications | 2012 | 7 Pages |
Abstract
⺠We introduce a time-changed geometric fractional Brownian motion as price process. ⺠Our model is a useful tool for capturing the phenomenon of constant period of prices. ⺠We obtain the pricing formula for the European call option in discrete time setting.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hui Gu, Jin-Rong Liang, Yun-Xiu Zhang,