Pricing of bi-direction European option under fractional Brownian motion with stochastic interest rates (Q3462763)
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scientific article; zbMATH DE number 6531217
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| English | Pricing of bi-direction European option under fractional Brownian motion with stochastic interest rates |
scientific article; zbMATH DE number 6531217 |
Statements
15 January 2016
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fractional Brownian motion
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quasi-martingale
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Vasicek extended model
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bi-direction European option
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0.8860686421394348
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0.8589602112770081
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0.8582918047904968
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0.8553956747055054
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