Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach (Q6495739): Difference between revisions

Latest revision as of 13:41, 3 December 2024

scientific article; zbMATH DE number 7841379

Language	Label	Description	Also known as
English	Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach	scientific article; zbMATH DE number 7841379

Statements

instance of

scholarly article

0 references

title

Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach (English)

0 references

0 references

0 references

0 references

0 references

Fractional Calculus \& Applied Analysis

0 references

publication date

2 May 2024

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Pricing of fixed-strike lookback options on assets with default risk

0 references

Valuing vulnerable geometric Asian options

0 references

Pricing vulnerable path-dependent options using integral transforms

0 references

Pricing vulnerable options under a stochastic volatility model

0 references

Pricing of vulnerable options under hybrid stochastic and local volatility

0 references

The Pricing of Options and Corporate Liabilities

0 references

FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

0 references

The absence of arbitrage in a model with fractal Brownian motion

0 references

Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

0 references

Valuation of the vulnerable option price based on mixed fractional Brownian motion

0 references

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

0 references

The pricing of vulnerable options with double Mellin transforms

0 references

Closed-form pricing formula for exchange option with credit risk

0 references

The pricing of dynamic fund protection with default risk

0 references

Option pricing with Mellin transforms

0 references

Pricing perpetual options using Mellin transforms

0 references

Mellin transform method for European option pricing with Hull-White stochastic interest rate

0 references

Stochastic Calculus for Fractional Brownian Motion and Applications

0 references

Solutions to BSDEs driven by multidimensional fractional Brownian motions

0 references

Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion

0 references

LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA

0 references

Q4509488

0 references

Q5437427

0 references

Identifiers

DOI

10.1007/s13540-023-00233-5

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6495739

@@ Property / cites work @@
+Pricing of fixed-strike lookback options on assets with default risk
+Normal rank
@@ Property / cites work @@
+Valuing vulnerable geometric Asian options
@@ Property / cites work: Valuing vulnerable geometric Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable path-dependent options using integral transforms
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Pricing of vulnerable options under hybrid stochastic and local volatility
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+The absence of arbitrage in a model with fractal Brownian motion
+Normal rank
@@ Property / cites work @@
+Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
+Normal rank
@@ Property / cites work @@
+Valuation of the vulnerable option price based on mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / cites work @@
+Closed-form pricing formula for exchange option with credit risk
+Normal rank
@@ Property / cites work @@
+The pricing of dynamic fund protection with default risk
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing perpetual options using Mellin transforms
@@ Property / cites work: Pricing perpetual options using Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Mellin transform method for European option pricing with Hull-White stochastic interest rate
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+Solutions to BSDEs driven by multidimensional fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5437427
@@ Property / cites work: Q5437427 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6495739