JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2025, Vol. 60 ›› Issue (3): 60-68.doi: 10.6040/j.issn.1671-9352.0.2024.277

• Financial Mathematics • Previous Articles     Next Articles

European option pricing under double Heston jump-diffusion model with generalized fractional Brownian motion

ZHANG Zhaoliu, FAN Xiaoming*   

  1. School of Mathematics, Southwest Jiaotong University, Chengdu 611756, Sichuan, China
  • Published:2025-03-10

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Abstract: First, a double Heston jump-diffusion model based on generalized fractional Brownian motion is proposed under the risk-neutral probability measure, and the corresponding European call option pricing formula of the model is introduced by solving the partial differential equation system of the characteristic function. The Monte Carlo simulation verifies the accuracy of the European option pricing formula. The rationality and effectiveness of the established option pricing model are verified by numerical analysis, and the influence of generalized fractional Brownian motion parameter H and volatility on option price is discussed.

Key words: option pricing, generalized fractional Brownian motion, double Heston model, jump-diffusion model

CLC Number: 

  • O211.61
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