ACADSTAFF UGM
| Title | : | Option pricing by using a mixed fractional Brownian motion with jumps |
| Author | : |
CH ENNY MURWANINGTYAS (1) Prof. Dr. Sri Haryatmi, M.Sc. (2) Prof. Dr. Drs. Gunardi, M.Si. (3) Herry Pribawanto Suryawan (4) |
| Date | : | 22 2019 |
| Keyword | : | option, mixed fractional Brownian motion option, mixed fractional Brownian motion |
| Abstract | : | Option pricing is conventionally based on a Brownian motion (Bm). The Bm is a semimartingale process with stationary and independent increments. However, there are several stock returns that have a long memory or have high autocorrelation for long lags. A fractional Brownian motion (fBm) is one of the models that can solve this problem, but a model option with fBm is not arbitrage-free. A mixed fractional Brownian motion (mfBm) is a linear combination of a Bm and an independent fBm which can overcome the arbitrage problem. A jump process in time series is another problem found in stock price modeling. This paper deals with the problem of options pricing by using mfBm with jumps. Based on quasi-conditional expectation and Fourier transform method, we obtain a pricing formula for a stock option. |
| Group of Knowledge | : | |
| Level | : | Internasional |
| Status | : |
Published
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196511281991031004-869-Publikasi.pdf
Document Type : [PAK] Informasi Dewan Redaksi/Editor/Steering Committee
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| 2 |
196511281991031004-869-Publikasi.pdf
Document Type : [PAK] Dokumen Susunan Panitia
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196511281991031004-869-Publikasi.pdf
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196511281991031004-869-Publikasi.pdf
Document Type : [PAK] Full Dokumen
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Option pricing by using a mixed fractional Brownian motion with jumps.pdf
Document Type : Cek Similarity
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