Mixed bifractional Brownian model simulation value

Classic B-S model simulation value

True value

1st qu.

0.35044

0.1909

0.708

median

0.50542

0.2336

1.042

mean

1.16469

0.2620

2.204

3rd qu.

1.80613

0.3131

2.540

variance

1.502611

0.01084814

6.210699