| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7380923 | Physica A: Statistical Mechanics and its Applications | 2014 | 7 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Zhidong Guo, Hongjun Yuan,