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Pricing compound and extendible options under mixed fractional Brownian motion with jumps

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  • Foad Shokrollahi

Abstract

This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these results are applied to value extendible options. Moreover, some special cases of the formula are discussed and numerical results are provided.

Suggested Citation

  • Foad Shokrollahi, 2017. "Pricing compound and extendible options under mixed fractional Brownian motion with jumps," Papers 1708.04829, arXiv.org.
    • Handle: RePEc:arx:papers:1708.04829
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    References listed on IDEAS

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    Cited by:

    1. Omid Jenabi & Nazar Dahmardeh Ghale No, 2018. "Option Pricing in Stochastic Volatility Models Driven by Fractional Jump-Diffusion Processes," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 8(1), pages 1374-1374.

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