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

DOI10.3969/J.ISSN.1003-5060.2017.06.024zbMATH Open1424.91147MaRDI QIDQ4624367FDOQ4624367

Authors: Xiangying Zhou, Jian Pan 

Publication date: 22 February 2019

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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)

Cited In (5)

• Title not available (Why is that?)
• 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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