Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps

This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment. We construct a pricing model for European options driven by fuzzy mixed weighted fractional Brownian motion with jumps. By c...

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Bibliographic Details
Published in:	Fractal and Fractional
Main Authors:	Feng Xu, Xiao-Jun Yang
Format:	Article
Language:	English
Published:	MDPI AG 2023-11-01
Subjects:	mixed weighted fractional Brownian motion jump diffusion European options option pricing fuzzy set theory
Online Access:	https://www.mdpi.com/2504-3110/7/12/859

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