The maximum option pricing for assets in fractional Brownian motion environment

MaRDI QIDQ2860263zbMATHFDO

Authors Ling Ma, Hua Hu

Publication date 19 November 2013

Published in Journal of Jiangxi Normal University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionrisk neutral measuremaximum optionquasi conditional mathematical expectation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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