Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps
Wei-Guo Zhang, Zhe Li, Yong-Jun Liu, Yue Zhang
Topics & Concepts
Fractional Brownian motionFuzzy logicValuation of optionsEconometricsJumpEconomicsStochastic volatilityCall optionVolatility (finance)Computer scienceMathematicsMathematical optimizationBrownian motionStatisticsPhysicsQuantum mechanicsArtificial intelligenceFuzzy Systems and OptimizationStochastic processes and financial applicationsFinancial Risk and Volatility Modeling