N-Fold compound option pricing with technical risk under fractional jump-diffusion model

DOI10.1080/02331934.2021.1981898OpenAlexW3208377246MaRDI QIDQ5882833FDOQ5882833

Authors: Pingping Zhao, Kaili Xiang, Pei-Min Chen 

Publication date: 17 March 2023

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1981898

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zbMATH Keywords

fractional Brownian motionjump-diffusion modeltechnical risk\(N\)-fold compound optionphase-specific characteristics

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Calculus of variations and optimal control; optimization (49-XX)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Fractional Brownian Motions, Fractional Noises and Applications
• Long-Term Memory in Stock Market Prices
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• The valuation of European options in uncertain environment
• The generalized sequential compound options pricing and sensitivity analysis
• Efficient pricing of Bermudan options using recombining quadratures
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• Valuation of \(N\)-stage investments under jump-diffusion processes
• The influence of a stochastic interest rate on the \(n\)-fold compound option
• The compound option approach to American options on jump-diffusions
• FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm
• A generalization of the Geske formula for compound options
• Complex compound option models -- can practitioners truly operationalize them?
• Modified Laguerre collocation method for solving 1-dimensional parabolic convection-diffusion problems
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

Cited In (2)

• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A pricing method for multi-stage causal compound options following a jump-diffusion process

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