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Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps

Published 24 Jun 2024 in math.PR | (2406.16373v1)

Abstract: We investigate the valuation of the bid and ask prices for European option under the mixed fractional Brownian motion environment in the presence of superimposed jumps by an independent Poisson process.

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Authors (1)

  1. B. L. S. Prakasa Rao 

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