A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion

DOI10.1016/J.CHAOS.2016.04.008zbMATH Open1375.91221OpenAlexW2340717850MaRDI QIDQ508259FDOQ508259

Luca Vincenzo Ballestra, Graziella Pacelli, Davide Radi

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2016.04.008

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zbMATH Keywords

integral equationsnumerical methodbarrier option pricingmixed fractional Brownian motionproduct integration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20)

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Cited In (14)

• 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
• RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE
• 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
• Asian-barrier option pricing formulas of uncertain financial market
• Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
• On stochastic fractional differential variational inequalities general system with Lévy jumps
• 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
• 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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