scientific article; zbMATH DE number 6671412

DOI10.13338/J.ISSN.1006-8341.2016.02.008MaRDI QIDQ3179994zbMATH OpenFDO

Authors Yuhuan Jin, Hong Xue, Jinqian Feng

Publication date 6 January 2017

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)

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Cited in

(1)

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

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