The exchange option pricing model under bifractional jump-diffusion process

DOI10.13338/J.ISSN.1006-8341.2016.03.015MaRDI QIDQ2983652zbMATH OpenFDO

Authors Zhi-Xiang Chen, Hong Xue

Publication date 17 May 2017

Full work available at URL https://doi.org/10.13338/J.ISSN.1006-8341.2016.03.015

zbMATH Keywords

actuarial approachbifractional Brownian motionexchange optionjump-diffusion process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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