Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
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Publication:2139665
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Cites work
- scientific article; zbMATH DE number 1897419 (Why is no real title available?)
- scientific article; zbMATH DE number 5220411 (Why is no real title available?)
- scientific article; zbMATH DE number 7696272 (Why is no real title available?)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Mixed fractional Brownian motion
- On the mixed fractional Brownian motion
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- Options on the minimum or the maximum of two average prices
- Pricing by hedging and no-arbitrage beyond semimartingales
- Pricing currency options in the mixed fractional Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Pricing geometric Asian rainbow options under fractional Brownian motion
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Stochastic calculus for fractional Brownian motion and related processes.
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Pricing geometric Asian power options in the sub-fractional Brownian motion environment
- Pricing geometric Asian rainbow options under fractional Brownian motion
- The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
- Path-dependent game options with Asian features
- American rainbow option pricing formulae in uncertain environment
- Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- Asian rainbow option pricing formulas of uncertain stock model
- Option pricing under time interval driven model
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