A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
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- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
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- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing currency options in the mixed fractional Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
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- The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
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- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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Cited in
(15)- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
- Valuation of the vulnerable option price based on mixed fractional Brownian motion
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Asian-barrier option pricing formulas of uncertain financial market
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- On stochastic fractional differential variational inequalities general system with Lévy jumps
- Computational technique for simulating variable-order fractional Heston model with application in US stock market
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
- Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
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