Pricing of Digital Exchange Option under Mixed Fractional Jump Diffusion Environment.
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| 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] |
| Copyright of IAENG International Journal of Applied Mathematics is the property of International Association of Engineers (IAENG) and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
| FullText | Links: – Type: pdflink Text: Availability: 0 |
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| Header | DbId: egs DbLabel: Engineering Source An: 187681840 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Pricing of Digital Exchange Option under Mixed Fractional Jump Diffusion Environment. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Mingxuan+Shen%22">Mingxuan Shen</searchLink><relatesTo>1</relatesTo><i> smx1011@ahpu.edu.cn</i><br /><searchLink fieldCode="AR" term="%22Qingqian+Shi%22">Qingqian Shi</searchLink><relatesTo>2</relatesTo><i> 2997911018@qq.com</i><br /><searchLink fieldCode="AR" term="%22Xue+Gong%22">Xue Gong</searchLink><relatesTo>3</relatesTo><i> 1151228415@qq.com</i><br /><searchLink fieldCode="AR" term="%22Chunhui+Mei%22">Chunhui Mei</searchLink><relatesTo>4</relatesTo><i> mch413@163.com</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22IAENG+International+Journal+of+Applied+Mathematics%22">IAENG International Journal of Applied Mathematics</searchLink>. Sep2025, Vol. 55 Issue 9, p2788-2792. 5p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Derivative+securities%22">Derivative securities</searchLink><br /><searchLink fieldCode="DE" term="%22Conditional+expectations%22">Conditional expectations</searchLink><br /><searchLink fieldCode="DE" term="%22Analytical+solutions%22">Analytical solutions</searchLink><br /><searchLink fieldCode="DE" term="%22Mathematical+economics%22">Mathematical economics</searchLink><br /><searchLink fieldCode="DE" term="%22Martingales+%28Mathematics%29%22">Martingales (Mathematics)</searchLink><br /><searchLink fieldCode="DE" term="%22Prices%22">Prices</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: 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] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of IAENG International Journal of Applied Mathematics is the property of International Association of Engineers (IAENG) and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 5 StartPage: 2788 Subjects: – SubjectFull: Derivative securities Type: general – SubjectFull: Conditional expectations Type: general – SubjectFull: Analytical solutions Type: general – SubjectFull: Mathematical economics Type: general – SubjectFull: Martingales (Mathematics) Type: general – SubjectFull: Prices Type: general Titles: – TitleFull: Pricing of Digital Exchange Option under Mixed Fractional Jump Diffusion Environment. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Mingxuan Shen – PersonEntity: Name: NameFull: Qingqian Shi – PersonEntity: Name: NameFull: Xue Gong – PersonEntity: Name: NameFull: Chunhui Mei IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 09 Text: Sep2025 Type: published Y: 2025 Identifiers: – Type: issn-print Value: 19929978 Numbering: – Type: volume Value: 55 – Type: issue Value: 9 Titles: – TitleFull: IAENG International Journal of Applied Mathematics Type: main |
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