Pricing European lookback option by a special kind of mixed jump-diffusion model (Q4640420)
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scientific article; zbMATH DE number 6874305
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| English | Pricing European lookback option by a special kind of mixed jump-diffusion model |
scientific article; zbMATH DE number 6874305 |
Statements
25 May 2018
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mixed jump-diffusion fractional Brownian motion
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Merton assumptions
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fractional Wick-Itô-Skorohod integral
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European lookback option
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Pricing European lookback option by a special kind of mixed jump-diffusion model (English)
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0.941853642463684
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0.8853101134300232
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0.8812118768692017
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0.8637532591819763
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