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

DOI10.1515/FCA-2019-0060zbMATH Open1439.91035OpenAlexW2981927952WikidataQ126990925 ScholiaQ126990925MaRDI QIDQ2175773FDOQ2175773

Sheng-Wu Zhou, Feng Xu

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

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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)

Cites Work

• Arbitrage in fractional Brownian motion models
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• A note on Wick products and the fractional Black-Scholes model
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• Itô's formula for a sub-fractional Brownian motion
• Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Covariance measure and stochastic heat equation with fractional noise
• On the sub-mixed fractional Brownian motion
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
• Title not available (Why is that?)

Cited In (3)

• Pricing of perpetual American put with fractional O-U process
• The sub-fractional CEV model
• A mutually exciting rough jump-diffusion for financial modelling

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