OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES (Q5306219)
From MaRDI portal
scientific article; zbMATH DE number 5691306
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES |
scientific article; zbMATH DE number 5691306 |
Statements
OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES (English)
0 references
8 April 2010
0 references
option pricing
0 references
barriers
0 references
fractional Brownian motion
0 references
Hermite rank
0 references
long memory property
0 references
