Bibliographic Details
| Title: |
Pricing of Digital Exchange Option under Mixed Fractional Jump Diffusion Environment. |
| Authors: |
Mingxuan Shen1 smx1011@ahpu.edu.cn, Qingqian Shi2 2997911018@qq.com, Xue Gong3 1151228415@qq.com, Chunhui Mei4 mch413@163.com |
| Source: |
IAENG International Journal of Applied Mathematics. Sep2025, Vol. 55 Issue 9, p2788-2792. 5p. |
| Subjects: |
Derivative securities, Conditional expectations, Analytical solutions, Mathematical economics, Martingales (Mathematics), Prices |
| Abstract: |
In this paper, the digital exchange option pricing under mixed fractional jump diffusion enviroment is discussed. Under risk neutral measure, a closed form solution for the price of digital exchange option is established by quasi conditional expectation. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
