European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time

In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is established. Pricing formulas for European options are...

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Bibliographic Details

Published in:	Fractal and Fractional
Main Authors:	Zhidong Guo, Yang Liu, Linsong Dai
Format:	Article
Language:	English
Published:	MDPI AG 2023-12-01
Subjects:	discrete-time model sub-fractional Brownian motion delta hedging mixed hedging hedging error ratio
Online Access:	https://www.mdpi.com/2504-3110/8/1/13