Asset Pricing and Simulation Analysis Based on the New Mixture Gaussian Processes
نویسندگان
چکیده
European compound option pricing model is established by using the mixed bifractional Brownian motion. Firstly, principle of risk-neutral pricing, formulas and parity are obtained. Secondly, with Delta hedging strategy, corresponding got. Finally, daily closing price data “Lingang B shares” “Yitai respectively, results show that closer to true value than previous model.
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Physics
سال: 2023
ISSN: ['2327-4379', '2327-4352']
DOI: https://doi.org/10.4236/jamp.2023.118153