2014•Physica A Statistical Mechanics and its ApplicationsRequires access

Pricing European option under the time-changed mixed Brownian-fractional Brownian model

Zhidong Guo, Hongjun Yuan

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Key concepts: Fractional Brownian motion, Brownian motion, Mathematics, Brownian excursion, Valuation of options, Geometric Brownian motion, Reflected Brownian motion, Discrete time and continuous time

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