Pricing Asian options under the mixed fractional Brownian motion with jumps.
F. ShokrollahiDavood AhmadianLuca Vincenzo BallestraPublished in: Math. Comput. Simul. (2024)
Keyphrases
- fractional brownian motion
- financial markets
- option pricing
- long range
- stock price
- non stationary
- black scholes model
- long range dependence
- double exponential
- fractal dimension
- random fields
- stock market
- markov chain
- stochastic differential equations
- feature selection
- exchange rate
- risk management
- long term
- image analysis