The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
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Publication:724563
DOI10.1016/j.cam.2018.05.042zbMath1395.91467arXiv1712.05254OpenAlexW2962997245WikidataQ129735955 ScholiaQ129735955MaRDI QIDQ724563
Publication date: 26 July 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.05254
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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