Pricing European Option in a Mixed Bi-fractional Brownian Motion
XU Feng
Abstract：Assuming that the underlying asset is driven by the mixed bi-fractional Brownian motion,this paper proposes a partial differential equation formulation for valuing European option by hedge principle. Moreover, using the boundary condition and the method of variable substitution,we obtain the solution to this partial differential equation-the pricing formula for European option.
Keywords：mixed bi-fractional brownian motioneuropean optionpricinglong memory
Publication Date：2015-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：4( 50-53 )