Reload option pricing under sub-fractional jump-diffusion process

DOI10.14182/J.CNKI.1001-2443.2019.01.006MaRDI QIDQ5195606zbMATH OpenFDO

Authors Jianing Wang, Hong Xue

Publication date 2 October 2019

Full work available at URL https://doi.org/10.14182/J.CNKI.1001-2443.2019.01.006

zbMATH Keywords

actuarial approachjump-diffusion processreload optionsub-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Jump processes on discrete state spaces (60J74) Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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