Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps
Work
Year: 2019
Type: article
Abstract: This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under... more
Source: Axioms
Author Foad Shokrollahi
Institution University of Vaasa
Cites: 26
Cited by: 2
Related to: 10
FWCI: 0.522
Citation percentile (by year/subfield): 63.64
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,515