JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2020, Vol. 55 ›› Issue (5): 105-113.doi: 10.6040/j.issn.1671-9352.0.2019.666

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Asset pricing and simulation under the environment of jumping and mixed Gaussian process

PENG Bo, GUO Jing-jun*   

  1. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, Gansu, China
  • Published:2020-05-06

Abstract: The European option pricing model is established by based on mixed sub-fractional Brownian motion in jump environment. Firstly, the partial differential equation satisfying European option can be obtained through the Delta hedging principle. Secondly, the call option, the put option pricing formula and the call-put parity formula are respectively obtained by using the quasi-conditional expectation. Then, the asset risk is further quantified by Greeks Δ, Δ, ρ, Θ, Γ, ν and the partial derivative formula forthe Hurst index H. Finally, numerical simulation show that the Hurst index H and jump intensity λ in pricing parameters have a significant impact on the value of option.

Key words: jump diffusion, sub-fractional Brownian motion, quasi-conditional expectation, option pricing, asset risk

CLC Number: 

  • F224.7
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