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Volume 8
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10.3390/axioms8020039
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Article

Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps

by
Foad Shokrollahi
Department of Mathematics and Statistics, University of Vaasa, P.O. Box 700, FIN-65101 Vaasa, Finland
Axioms 2019, 8(2), 39; https://doi.org/10.3390/axioms8020039
Submission received: 6 February 2019 / Revised: 22 March 2019 / Accepted: 30 March 2019 / Published: 3 April 2019
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Abstract

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.
Keywords: pricing; mixed fractional Brownian motion; extendible and compound options; poisson process pricing; mixed fractional Brownian motion; extendible and compound options; poisson process

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MDPI and ACS Style

Shokrollahi, F. Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps. Axioms 2019, 8, 39. https://doi.org/10.3390/axioms8020039

AMA Style

Shokrollahi F. Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps. Axioms. 2019; 8(2):39. https://doi.org/10.3390/axioms8020039

Chicago/Turabian Style

Shokrollahi, Foad. 2019. "Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps" Axioms 8, no. 2: 39. https://doi.org/10.3390/axioms8020039

APA Style

Shokrollahi, F. (2019). Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps. Axioms, 8(2), 39. https://doi.org/10.3390/axioms8020039

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