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

摘要

This paper deals with the problem of discrete time option pricing by a mixed Brownianfractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.