THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE (Q3304211)

From MaRDI portal
scientific article
Language Label Description Also known as
English
THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE
scientific article

    Statements

    THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE (English)
    0 references
    0 references
    5 August 2020
    0 references
    Merton short rate model
    0 references
    subdiffusive processes
    0 references
    fractional Brownian motion
    0 references
    option pricing
    0 references

    Identifiers