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arXiv · 2406.16373

Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps

B. L. S. Prakasa Rao
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Abstract

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.

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B. L. S. Prakasa Rao. 2024-06-24. Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps. https://arxiv.org/abs/2406.16373

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