Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
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Publication:1992912
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Cites work
- scientific article; zbMATH DE number 1897419 (Why is no real title available?)
- scientific article; zbMATH DE number 2187903 (Why is no real title available?)
- A jump-diffusion model for option pricing
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- A semi-analytic pricing formula for lookback options under a general stochastic volatility model
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- An analytic pricing formula for lookback options under stochastic volatility
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Early exercise policies of American floating strike and fixed strike lookback options.
- Equivalence of floating and fixed strike Asian and lookback options
- Exercise Regions And Efficient Valuation Of American Lookback Options
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Mixed fractional Brownian motion
- OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
- On the mixed fractional Brownian motion
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- Pricing currency options in the mixed fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion and Applications
- The fractional mixed fractional Brownian motion.
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
Cited in
(10)- Pricing European lookback option by a special kind of mixed jump-diffusion model
- Pricing European lookback option in a special kind of mixed jump-diffusion Black-Scholes model
- Critical exercise price for American floating strike lookback option in a mixed jump-diffusion model
- A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
- The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- Numerical solution method of European lookback option pricing model under mixed jump-diffusion fractional Brownian motion
- Default probability of American lookback option in a mixed jump-diffusion model
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- American fractional lookback options: valuation and premium decomposition
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