Seyha Lim

Nonlinear Volatility Derivatives Under Generalized Mixed Fractional Brownian Dynamics with Long-Range Dependence: Distributional Analysis and Valuation

This paper develops a distributional framework for discretely monitored volatility derivatives with nonlinear payoffs under generalized mixed fractional Brownian dynamics. Multiple fractional components with distinct Hurst parameters and positive weights generate heterogeneous temporal dependence while preserving a fin...