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- W2922965012 abstract "Option pricing is conventionally based on a Brownian motion (Bm). The Bm is a semimartingale process with stationary and independent increments. However, there are several stock returns that have a long memory or have high autocorrelation for long lags. A fractional Brownian motion (fBm) is one of the models that can solve this problem, but a model option with fBm is not arbitrage-free. A mixed fractional Brownian motion (mfBm) is a linear combination of a Bm and an independent fBm which can overcome the arbitrage problem. A jump process in time series is another problem found in stock price modeling. This paper deals with the problem of options pricing by using mfBm with jumps. Based on quasi-conditional expectation and Fourier transform method, we obtain a pricing formula for a stock option." @default.
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- W2922965012 date "2019-02-01" @default.
- W2922965012 modified "2023-10-18" @default.
- W2922965012 title "Option pricing by using a mixed fractional Brownian motion with jumps" @default.
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- W2922965012 doi "https://doi.org/10.1088/1742-6596/1180/1/012011" @default.
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