scientific article; zbMATH DE number 6671412

DOI10.13338/J.ISSN.1006-8341.2016.02.008zbMATH Open1363.91106MaRDI QIDQ3179994FDOQ3179994

Authors: Yuhuan Jin, Hong Xue, Jinqian Feng 

Publication date: 6 January 2017

Title of this publication is not available (Why is that?)

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zbMATH Keywords

bifractional Brownian motionstochastic interest rateactuarial mathematicsgap option

Mathematics Subject Classification ID

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

Cited In (1)

• Pricing of European gap options under fractional Brownian motion with time-varying parameters

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