Pricing Catastrophe Equity Put Options in a Mixed Fractional Brownian Motion Environment
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fractional model in which the stock price is governed by a mixed fractional Brownian motion (mfBM model), which manifests long-range correlation and fluctuations from the financial market. Using the con...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2020-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2020/6197506 |