Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing geometric Asian rainbow options under the mixed fractional Brownian motion |
scientific article |
Statements
Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (English)
0 references
19 May 2022
0 references
mixed fractional Brownian motion
0 references
rainbow options
0 references
Asian option
0 references
multi-asset option
0 references
non-Markov process
0 references
0 references
0 references
0 references
0 references
0 references
