EUROPEAN OPTION PRICING IN THE GENERALIZED MIXED WEIGHTED FRACTIONAL BROWNIAN MOTION

被引：1

作者：

Xu, Feng ^{[1
]}

Han, Miao ^{[2
]}

机构：

[1] Suzhou Vocat Univ, Sch Business, Suzhou 215104, Peoples R China

[2] China Univ Min & Technol, Sch Math, Xuzhou 221116, Peoples R China

来源：

FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY | 2024年 / 32卷 / 04期

关键词：

Generalized Mixed Weighted Fractional Brownian Motion; Arbitrage-Free Pricing Theory; Option Pricing; Numerical Analysis; CALCULUS;

D O I：

10.1142/S0218348X24400309

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In order to describe the self-similarity and long-range dependence of financial asset prices, this paper adopts a new fractional-type process, i.e, the generalized mixed weighted fractional Brownian motion to describe the dynamic change process of risky asset prices. A European option pricing model driven by the generalized mixed weighted fractional Brownian motion is constructed, and explicit solutions to the pricing formulas of European call options and European put options are derived by using the arbitrage-free pricing theory. Finally, through numerical simulation, the influence of the parameter on the option price is analyzed.

引用

页数：6

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