The pricing and numerical analysis of lookback options for mixed fractional Brownian motion (Q2122319)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing and numerical analysis of lookback options for mixed fractional Brownian motion |
scientific article |
Statements
The pricing and numerical analysis of lookback options for mixed fractional Brownian motion (English)
0 references
6 April 2022
0 references
mixed jump-diffusion fractional Brownian motion
0 references
Merton hypothesis
0 references
iterative method
0 references
European lookback option
0 references
0 references
