scientific article; zbMATH DE number 6612473

DOI10.13338/J.ISSN.1006-8341.2015.04.011MaRDI QIDQ2993950zbMATH OpenFDO

Authors Xiao Heng, Hong Xue

Publication date 10 August 2016

Full work available at URL https://doi.org/10.13338/J.ISSN.1006-8341.2015.04.011

zbMATH Keywords

actuarial approachsub-fractional Brownian motionvulnerable option

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The pricing of vulnerable options in a fractional Brownian motion environment
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps
• scientific article; zbMATH DE number 2187903
• Option pricing in sub-fractional jump-diffusion environment
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• Option pricing in fractional Brownian markets
• scientific article; zbMATH DE number 7295145
• Vulnerable option pricing under bi-fractional jump-diffusion process
• Chooser option pricing in sub-fractional Brownian motion environment
• European option pricing with stochastic volatility in sub-fractional Brownian motion environment

Cited in

(11)

• The pricing of vulnerable options in a fractional Brownian motion environment
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models
• Vulnerable option pricing under bi-fractional jump-diffusion process
• Pricing of European option in sub-factional Brownian motion with dividend payments
• European option pricing with stochastic volatility in sub-fractional Brownian motion environment
• Chooser option pricing in sub-fractional Brownian motion environment
• scientific article; zbMATH DE number 7266443 (Why is no real title available?)
• scientific article; zbMATH DE number 7295145 (Why is no real title available?)
• Reload option pricing in sub-fractional Brownian motion environment
• Pricing of exchange options with credit risk under sub-fractional Brown motion environment

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2993950)