Pricing of power options based on mixed fractional Hull-White interest rate model

DOI10.3969/J.ISSN.1003-5060.2017.06.024MaRDI QIDQ4624367zbMATH OpenFDO

Authors Xiangying Zhou, Jian Pan

Publication date 22 February 2019

zbMATH Keywords

option pricingpower optionpartial differential equation methodfractional Hull-White model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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Cited in

(5)

• scientific article; zbMATH DE number 7235426 (Why is no real title available?)
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• European pricing options under jump-fraction process in the fractional Hull-White interest rate model
• Pricing of power options under Ornstein-Uhlenbeck process and Hull-White interest rate with continuous dividend
• The power option pricing under the fractional Brownian motion and Ho-Lee model

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