Pricing of lookback options under a mixed fractional Brownian movement (Q4624271)
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scientific article; zbMATH DE number 7028514
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| English | Pricing of lookback options under a mixed fractional Brownian movement |
scientific article; zbMATH DE number 7028514 |
Statements
22 February 2019
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mixed fractional Brownian movement
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transaction fee
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European lookback option
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Crank-Nicolson format
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Pricing of lookback options under a mixed fractional Brownian movement (English)
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0.8830736875534058
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0.8465428948402405
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0.8453311920166016
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0.8171848654747009
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0.8153009414672852
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