Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps
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 the risk neutral measure. Then, these results are applied to value extendible options. Moreover, so...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-04-01
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| Series: | Axioms |
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| Online Access: | https://www.mdpi.com/2075-1680/8/2/39 |