Pricing European option under mixed hedging strategy in the time-changed mixed sub-fractional Brownian model
IF 3.6
1区 数学
Q1 MATHEMATICS, APPLIED
Mathematical Models & Methods in Applied Sciences
Pub Date : 2023-01-01
DOI:10.12988/ams.2023.918558
引用次数: 0
Abstract
This paper deals with the problem of discrete time option pricing in the timed-changed mixed sub-fractional Brownian model. By a mixed hedging strategy, a European call option pricing formula is obtained时变混合次分数布朗模型下混合套期保值策略下欧洲期权的定价
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来源期刊
CiteScore
6.30
自引率
17.10%
发文量
61
审稿时长
1 months
期刊介绍：
The purpose of this journal is to provide a medium of exchange for scientists engaged in applied sciences (physics, mathematical physics, natural, and technological sciences) where there exists a non-trivial interplay between mathematics, mathematical modelling of real systems and mathematical and computer methods oriented towards the qualitative and quantitative analysis of real physical systems.
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2.Mathematical methods for the qualitative and quantitative analysis of models of mathematical physics and technological sciences;
3.Numerical and computer treatment of mathematical models or real systems.
Special attention will be paid to the analysis of nonlinearities and stochastic aspects.
Within the above limitation, scientists in all fields which employ mathematics are encouraged to submit research and review papers to the journal. Both theoretical and applied papers will be considered for publication. High quality, novelty of the content and potential for the applications to modern problems in applied sciences and technology will be the guidelines for the selection of papers to be published in the journal. This journal publishes only articles with original and innovative contents.
Book reviews, announcements and tutorial articles will be featured occasionally.
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