Abstract
In order to describe the self-similarity and long-range dependence of financial asset prices, this paper adopts a new fractional-type process, i.e, the generalized mixed weighted fractional Brownian motion to describe the dynamic change process of risky asset prices. A European option pricing model driven by the generalized mixed weighted fractional Brownian motion is constructed, and explicit solutions to the pricing formulas of European call options and European put options are derived by using the arbitrage-free pricing theory. Finally, through numerical simulation, the influence of the parameter on the option price is analyzed.
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