Mixed bifractional Brownian model simulation value

Classic B-S model simulation value

True value

1st qu.

0.8764

0.9742

0.8920

median

0.8973

1.0005

0.9410

mean

0.9181

0.9836

0.9341

3rd qu.

0.9523

1.0177

0.9620

variance

0.004227694

0.002446244

0.001605285