scientific article; zbMATH DE number 6831036

DOI10.3969/J.ISSN.1674-232X.2017.03.014MaRDI QIDQ3131492zbMATH OpenFDO

Authors Hong Xue, Yu-Zhen Wang

Publication date 29 January 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.1674-232X.2017.03.014

zbMATH Keywords

actuarial approachbi-fractional Brownian motionchooser optionstochastic differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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