Lattice-based model for pricing contingent claims under mixed fractional Brownian motion

DOI10.1016/j.cnsns.2022.107042OpenAlexW4311989252MaRDI QIDQ2684130

Massimo Costabile, Emilio Russo, Alessandro Staino, Ivar Massabò

Publication date: 16 February 2023

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2022.107042

zbMATH Keywords

American optionsdiscrete-time modelsmixed fractional Brownian motionbinomial algorithms

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

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