The maximum option pricing for assets in fractional Brownian motion environment
zbMATH Open1289.91171MaRDI QIDQ2860263FDOQ2860263
Publication date: 19 November 2013
Published in: Journal of Jiangxi Normal University. Natural Science Edition (Search for Journal in Brave)
Recommendations
fractional Brownian motionrisk neutral measuremaximum optionquasi conditional mathematical expectation
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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- Research on depressed option pricing driven by bifractional Brownian motion
- Pricing of correlation digital options under fractional Brownian motion
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- On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option
- The pricing of loan guarantees on fractional Brownian motion
- Measure transformation and option pricing in fractional Brownian motion environment
- Options with underlying asset driven by a fractional Brownian motion: crossing barriers estimates
- Pricing of maximum or minimum option in the fractional Brownian motion environment
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