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Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment - MaRDI portal

Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (Q6131370)

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scientific article; zbMATH DE number 7827645
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English
Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
scientific article; zbMATH DE number 7827645

    Statements

    title
    Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (English)
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    author
    Kefan Liu
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    Ji Chao Zhang
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    Yue-Ting Yang
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    publication date
    5 April 2024
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    zbMATH Keywords
    mixed fractional Brownian motion
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    lookback-barrier option
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    option hedging
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    Malliavin calculus
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    cites work
    Double Lookbacks
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    Identifiers

    Mathematics Subject Classification ID
    60H07
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    60G22
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    91G20
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    zbMATH DE Number
    7827645
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    OpenAlex ID
    W4392520457
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