Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (Q6131370)
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scientific article; zbMATH DE number 7827645
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| English | Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment |
scientific article; zbMATH DE number 7827645 |
Statements
Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (English)
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5 April 2024
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mixed fractional Brownian motion
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lookback-barrier option
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option hedging
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Malliavin calculus
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0.8374050259590149
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0.8113997578620911
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0.785029947757721
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0.7826020121574402
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0.7727841734886169
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