Pricing of lookback options under a mixed fractional Brownian movement

DOI10.3969/J.ISSN.1000-5641.2018.04.005zbMATH Open1424.91121OpenAlexW3003947168MaRDI QIDQ4624271FDOQ4624271

Authors: Haizhen Chen, Sheng-Wu Zhou, Xiangyan Sun 

Publication date: 22 February 2019

Full work available at URL: https://xblk.ecnu.edu.cn/EN/10.3969/j.issn.1000-5641.2018.04.005

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zbMATH Keywords

European lookback optiontransaction feeCrank-Nicolson formatmixed fractional Brownian movement

Mathematics Subject Classification ID

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

Cited In (5)

• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
• Title not available (Why is that?)
• Numerical solution method of European lookback option pricing model under mixed jump-diffusion fractional Brownian motion
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

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