Mixed bifractional Brownian model simulation value

Classic B-S model simulation value

True value

1st qu.

0.08379

0.08870

0.08500

median

0.08534

0.09086

0.08800

mean

0.08594

0.08985

0.08714

3rd qu.

0.08681

0.09204

0.08900

variance

0.00001229301

0.000009739342

0.00000647619