Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665)
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scientific article; zbMATH DE number 7529248
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| English | Pricing geometric Asian rainbow options under the mixed fractional Brownian motion |
scientific article; zbMATH DE number 7529248 |
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Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (English)
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19 May 2022
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mixed fractional Brownian motion
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rainbow options
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Asian option
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multi-asset option
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non-Markov process
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0.9892308
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0.9190409
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0.91830164
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0.9148115
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