scientific article; zbMATH DE number 7266443

DOI10.3969/J.ISSN.1001-4268.2019.01.005MaRDI QIDQ5129435zbMATH OpenFDO

Authors Jingjun Guo, Yanling Song

Publication date 27 October 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.01.005

zbMATH Keywords

option pricingstatistical simulationsub-fractional Brownian motiontime-transform

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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