Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps-Reference-Cited by-同舟云学术

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

Published:2023-11-30 Issue:12 Volume:7 Page:859
ISSN:2504-3110
Container-title:Fractal and Fractional
language:en
Short-container-title:Fractal Fract

Author:

Xu Feng¹,Yang Xiao-Jun²^ORCID

Affiliation:

1. School of Business, Suzhou Vocational University, Suzhou 215104, China

2. School of Mathematics, China University of Mining and Technology, Xuzhou 221116, China

Abstract

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 converting the partial differential equation (PDE) into a Cauchy problem, we derive explicit solutions for both European call options and European put options. The figures and tables demonstrating the effectiveness of the results highlight the suitability of the fuzzy mixed weighted fractional Brownian motion with jump model for option pricing.

Funder

General Project of Philosophy and Social Science Research in Colleges and Universities of Jiangsu Province

Publisher

MDPI AG

Subject

Statistics and Probability,Statistical and Nonlinear Physics,Analysis

Link

https://www.mdpi.com/2504-3110/7/12/859/pdf

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