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4 papers · 1 filter
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certa…
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
Foad Shokrollahi, Marcin Marcin Magdziarz
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short…
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
Foad Shokrollahi
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the…
Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs
Foad Shokrollahi
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formul…