scientific article; zbMATH DE number 1867090

MaRDI QIDQ4792524zbMATH OpenFDO

Authors Yaozhong Hu

Publication date 2002

zbMATH Keywords

fractional Brownian motionsLie algebratraceBlack-Scholes formulaoption priceEuropean option, determinant

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• A possible way of estimating options with stable distributed underlying asset prices
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• Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion
• Options with underlying asset driven by a fractional Brownian motion: crossing barriers estimates
• Investigation of a \((B, S)\) market of security with stochastic volatility driven by fractional Brownian motion
• On pricing and hedging in financial markets with long-range dependence
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• Financial modelling by multiscale fractional Brownian motion
• Option pricing in fractional Brownian markets
• Asymptotics for option pricing in stochastic volatility environment

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