Chooser option pricing in sub-fractional Brownian motion environment

DOI10.13763/J.CNKI.JHEBNU.NSE.2020.02.003MaRDI QIDQ5127673zbMATH OpenFDO

Authors Rui Wang, Hong Xue, Xizhu Liang

Publication date 27 October 2020

Full work available at URL https://doi.org/10.13763/J.CNKI.JHEBNU.NSE.2020.02.003

zbMATH Keywords

actuarial approachchooser optionoption pricingstochastic analysis theorysub-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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