Pricing Formulas of Compound Options under the Fractional Brownian Motion (Q2838665)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Formulas of Compound Options under the Fractional Brownian Motion |
scientific article |
Statements
Pricing Formulas of Compound Options under the Fractional Brownian Motion (English)
0 references
10 July 2013
0 references
fractional Brownian motion
0 references
compound option
0 references
Black-Scholes formula
0 references
