Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model (Q890155)
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scientific article; zbMATH DE number 6506343
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| English | Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model |
scientific article; zbMATH DE number 6506343 |
Statements
Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model (English)
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9 November 2015
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fractional action-like variational approach
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functional with two occurrences of fractional action integrals
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geometric average Asian call option
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optimal change
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0.7519757747650146
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0.7364382743835449
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0.729943037033081
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0.7256423830986023
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0.7232127785682678
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