Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
DOI10.1155/2017/5904125zbMATH Open1427.91284OpenAlexW2735180064WikidataQ59147645 ScholiaQ59147645MaRDI QIDQ1992912FDOQ1992912
Authors: Zhaoqiang Yang 
Publication date: 5 November 2018
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/5904125
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Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Jump processes on discrete state spaces (60J74)
Cites Work
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- A note on Wick products and the fractional Black-Scholes model
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
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- Exercise Regions And Efficient Valuation Of American Lookback Options
- Title not available (Why is that?)
- Equivalence of floating and fixed strike Asian and lookback options
- OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
- Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
- Title not available (Why is that?)
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
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Default probability of American lookback option in a mixed jump-diffusion model
- American fractional lookback options: valuation and premium decomposition
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