Prcing Maximum Value Options under the Mixed Fractional Brownian Motion with Jumps
DOI:
https://doi.org/10.53469/jgebf.2024.06(07).06Keywords:
Extremum options, Mixed fractional Brownian motion, Jump diffusion, Equivalent martingaleAbstract
In this paper, a semi-closed analytical formula for the values of European call options on the maximum of two-asset options under the Mixed Fractional Brownian Motion model with Jumps (JMFBM) are derived by measure transform and equivalent martingale.
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Copyright (c) 2024 Rong Wang
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