Mixed bifractional Brownian model simulation value

Classic B-S model simulation value

True value

1st qu.

0.2150

0.2479

0.2100

median

0.3931

0.2594

0.5460

mean

0.3939

0.2589

0.6643

3rd qu.

0.5228

0.2702

1.0420

variance

0.04721107

0.0002223041

0.2579141