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, some special cases of the formula are discussed, and numerical results are provided
We deal with the problem of pricing barrier options on an underlying described by the mixed fraction...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
This study deals with the problem of pricing compound options when the underlying asset follows a mi...
MasterWe discuss a general risk-neutral pricing of compound option under jump- diffusion model with ...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
A new framework for pricing the European currency option is developed in the case where the spot exc...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
This paper studies the pricing of American carbon emission derivatives and its numerical method unde...
Abstract. Assume that the underlying asset price follows the fractional jump-diffusion process, the ...
This research aims to investigate a model for pricing of currency options in which value governed by...
This paper aims at supplying a decision support system tool to investors having options written on a...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We deal with the problem of pricing barrier options on an underlying described by the mixed fraction...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
This study deals with the problem of pricing compound options when the underlying asset follows a mi...
MasterWe discuss a general risk-neutral pricing of compound option under jump- diffusion model with ...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
A new framework for pricing the European currency option is developed in the case where the spot exc...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
This paper studies the pricing of American carbon emission derivatives and its numerical method unde...
Abstract. Assume that the underlying asset price follows the fractional jump-diffusion process, the ...
This research aims to investigate a model for pricing of currency options in which value governed by...
This paper aims at supplying a decision support system tool to investors having options written on a...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We deal with the problem of pricing barrier options on an underlying described by the mixed fraction...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
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