Pricing of perpetual American put option with sub-mixed fractional Brownian motion

DOI10.1515/FCA-2019-0060MaRDI QIDQ2175773zbMATH OpenOpenAlexWikidataFDO

Authors Feng Xu, Sheng-Wu Zhou

Publication date 30 April 2020

Published in Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/fca-2019-0060

zbMATH Keywords

option pricingpricing modelsperpetual American optionsub-mixed fractional Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 2187903 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A note on Wick products and the fractional Black-Scholes model
• Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
• Arbitrage in fractional Brownian motion models
• Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
• Covariance measure and stochastic heat equation with fractional noise
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Itô's formula for a sub-fractional Brownian motion
• On the sub-mixed fractional Brownian motion
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems

Cited in

(8)

• Pricing of perpetual American put with fractional O-U process
• Perpetual American pricing option in the mixed Gaussian model with dividend
• Numerically pricing American options under the generalized mixed fractional Brownian motion model
• Pricing perpetual American option in the mixed fractional Brownian motion
• The sub-fractional CEV model
• A mutually exciting rough jump-diffusion for financial modelling
• Perpetual American options with fractional Brownian motion
• Pricing of perpetual American put with fast diffusion process

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