The pricing of collar option with stochastic strike price under fractional Brownian motion

DOI10.3969/J.ISSN.1674-232X.2018.03.012MaRDI QIDQ4624315zbMATH OpenFDO

Authors Xinyu Gao, Lixia Liu

Publication date 22 February 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1674-232X.2018.03.012

zbMATH Keywords

collar optionfractional Brownian motionquasi-martingaleuncertain strike price

Mathematics Subject Classification ID

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

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