scientific article; zbMATH DE number 2187903
From MaRDI portal
Publication:5461112
zbMath1070.60056MaRDI QIDQ5461112
Publication date: 21 July 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
Related Items (17)
Pricing geometric Asian power options in the sub-fractional Brownian motion environment ⋮ A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Numerical solution of time fractional diffusion systems ⋮ Pricing of perpetual American put option with sub-mixed fractional Brownian motion ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK ⋮ Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility ⋮ Unnamed Item ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ Default probability of American lookback option in a mixed jump-diffusion model ⋮ The fractional and mixed-fractional CEV model ⋮ Proactive hedging European option pricing with a general logarithmic position strategy
This page was built for publication:
