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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2406.16373 |
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| _version_ | 1866909230197374976 |
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| author | Rao, B. L. S. Prakasa |
| author_facet | Rao, B. L. S. Prakasa |
| contents | We investigate the valuation of the bid and ask prices for European option under the mixed fractional Brownian motion environment in the presence of superimposed jumps by an independent Poisson process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_16373 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps Rao, B. L. S. Prakasa Probability 60G22 We investigate the valuation of the bid and ask prices for European option under the mixed fractional Brownian motion environment in the presence of superimposed jumps by an independent Poisson process. |
| title | Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps |
| topic | Probability 60G22 |
| url | https://arxiv.org/abs/2406.16373 |