A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model (Q5050867)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model |
scientific article; zbMATH DE number 7619768
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model |
scientific article; zbMATH DE number 7619768 |
Statements
A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (English)
0 references
18 November 2022
0 references
asymptotic behavior
0 references
fundamental solutions
0 references
mixed jump-diffusion fractional Brownian motion
0 references
optimal stopping problem
0 references
Wick-Itô-Skorohod integral
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9263998866081238
0 references
0.9176413416862488
0 references
0.8463987708091736
0 references
0.8292522430419922
0 references
0.8111352920532227
0 references
