Option pricing in sub-fractional jump-diffusion environment

MaRDI QIDQ5197224zbMATH OpenFDO

Authors Feng Xu, Sheng-Wu Zhou

Publication date 20 September 2019

zbMATH Keywords

Black-Scholes partial differential equationexchange optionsub-fractional jump-diffusion process

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional processes, including fractional Brownian motion (60G22) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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(10)

• Margrabe's option to exchange in a Paretian-stable subordinated market.
• The exchange option pricing model under bifractional jump-diffusion process
• scientific article; zbMATH DE number 6612473 (Why is no real title available?)
• Exchange option pricing in fractional Black-Scholes market
• Pricing extendible options under a jump-fraction process
• scientific article; zbMATH DE number 7295145 (Why is no real title available?)
• Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
• Reload option pricing under sub-fractional jump-diffusion process
• Pricing of exchange options with credit risk under sub-fractional Brown motion environment
• scientific article; zbMATH DE number 2189786 (Why is no real title available?)

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