Pricing European lookback option in a special kind of mixed jump-diffusion Black-Scholes model (Q3306181)
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scientific article; zbMATH DE number 7233563
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| English | Pricing European lookback option in a special kind of mixed jump-diffusion Black-Scholes model |
scientific article; zbMATH DE number 7233563 |
Statements
12 August 2020
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mixed jump-diffusion fractional Brownian motion
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perturbation method of multiscale-parameter
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European fixed strike lookback options
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Feynman-Kac formula
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error estimates
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0.941853642463684
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0.88824862241745
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0.8876593708992004
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0.8602592349052429
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