Publication:3131492

DOI10.3969/j.issn.1674-232X.2017.03.014zbMath1389.91118MaRDI QIDQ3131492

Hong Xue, Yu-Zhen Wang

Publication date: 29 January 2018

zbMATH Keywords

stochastic differential equation; bi-fractional Brownian motion; actuarial approach; chooser option

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)