Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

DOI10.1016/J.CNSNS.2024.107955MaRDI QIDQ6131370zbMATH OpenOpenAlexFDO

Authors K. F. Liu, Ji Chao Zhang, Yueting Yang

Publication date 5 April 2024

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2024.107955

zbMATH Keywords

Malliavin calculusmixed fractional Brownian motionoption hedginglookback-barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• A General Fractional White Noise Theory And Applications To Finance
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• Double lookbacks
• Equivalence of floating and fixed strike Asian and lookback options
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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• Mixed fractional Brownian motion
• Multiple Wiener integral
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• Option pricing in fractional Brownian markets
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• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• The fractional mixed fractional Brownian motion.
• The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
• The pricing of options and corporate liabilities

Cited in

(1)

• Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint

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