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A weighted-fractional model to reset option pricing (Q2823633)

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scientific article; zbMATH DE number 6634404
Language Label Description Also known as
English
A weighted-fractional model to reset option pricing
scientific article; zbMATH DE number 6634404

    Statements

    author
    Yimin Xue
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    Xichao Sun
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    publication date
    6 October 2016
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    zbMATH Keywords
    weighted fractional Brownian motion
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    long-range dependence
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    exchange option
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    option pricing
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    insurance actuary
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    title
    A weighted-fractional model to reset option pricing (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G22
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    60H30
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    zbMATH DE Number
    6634404
    0 references
     
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