Pricing Formulas of Compound Options under the Fractional Brownian Motion
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Publication:2838665
DOI10.1007/978-3-642-22833-9_29zbMath1269.91038OpenAlexW83366152MaRDI QIDQ2838665
Chao Zhang, Jizhou Zhang, Dongya Tao
Publication date: 10 July 2013
Published in: Advances in Intelligent and Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-22833-9_29
Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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