TITLE:
Asset Pricing and Simulation Analysis Based on the New Mixture Gaussian Processes
AUTHORS:
Bo Peng
KEYWORDS:
Bifractional Brownian Motion, Compound Option, Option Pricing
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.11 No.8,
August
24,
2023
ABSTRACT: European compound option pricing model is established by using the mixed bifractional Brownian motion. Firstly, using the principle of risk-neutral pricing, the European option pricing formulas and the parity formulas are obtained. Secondly, with the Delta hedging strategy, the corresponding compound option pricing formulas and the parity formulas are got. Finally, using the daily closing price data of “Lingang B shares” and “Yitai B shares” respectively, the results show that the mixed model is closer to the true value than the previous model.