Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed Jumps

Abstract

It has been observed that the stock price process can be modelled with driving force as a mixed fractional Brownian motion (mfBm) with Hurst index H > 3/4 whenever long-range dependence is possibly present. We propose a geometric mfBm model for the stock price process with possible jumps superimposed by an independent Poisson process.