A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
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Cites work
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Cited in
(22)- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Valuation of the vulnerable option price based on mixed fractional Brownian motion
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- 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
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Asian-barrier option pricing formulas of uncertain financial market
- 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
- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
- On stochastic fractional differential variational inequalities general system with Lévy jumps
- Evolution system of stochastic fractional differential mixed variational inequalities carrying Lévy jumps
- A generalized system of triple fractional stochastic differential variational inequalities with Lévy jumps
- Investigating long and short memory in cryptocurrency time series by stochastic fractional Brownian models
- Pricing Asian options under the mixed fractional Brownian motion with jumps
- Pricing of Asian options based on time-changed mixed fractional Brownian motion
- A novel fractional first-hitting time model with floating interest rate and application in carbon barrier option
- Analytical valuation of nonlinear payoff volatility derivatives with discrete sampling under a mixed fractional geometric Brownian motion model
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