A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867)
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scientific article; zbMATH DE number 7619768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL |
scientific article; zbMATH DE number 7619768 |
Statements
A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (English)
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18 November 2022
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asymptotic behavior
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fundamental solutions
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mixed jump-diffusion fractional Brownian motion
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optimal stopping problem
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Wick-Itô-Skorohod integral
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