scientific article; zbMATH DE number 1867090

zbMATH Open1036.91024MaRDI QIDQ4792524FDOQ4792524

Yaozhong Hu

Publication date: 2002

Title of this publication is not available (Why is that?)

Recommendations

• Option pricing in fractional Brownian markets
• scientific article; zbMATH DE number 2187903
• Option pricing under the fractional stochastic volatility model
• Option pricing with regulated fractional Brownian motion
• The pricing of vulnerable options in a fractional Brownian motion environment
• scientific article; zbMATH DE number 5209853
• Hedging options in market models modulated by the fractional Brownian motion
• scientific article; zbMATH DE number 7444511

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)

Cited In (9)

• LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
• A possible way of estimating options with stable distributed underlying asset prices
• No-arbitrage, leverage and completeness in a fractional volatility model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Options valuating of FBM model based on the martingale method
• Investigation of a \((B, S)\) market of security with stochastic volatility driven by fractional Brownian motion
• Option pricing in fractional Brownian markets

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4792524)