Publication:5381768
From MaRDI portal
DOI10.13548/j.sxzz.20171113.002zbMath1424.91139MaRDI QIDQ5381768
Cai-Min Wei, Xianwei Lin, Zhun Fan
Publication date: 21 June 2019
fractional Brownian motion; option pricing; transaction costs; no-arbitrage principle; binary option
60G22: Fractional processes, including fractional Brownian motion
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
