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

DOI10.1016/J.CNSNS.2024.107955OpenAlexW4392520457MaRDI QIDQ6131370FDOQ6131370

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

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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)

Cites Work

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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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