Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models

DOI10.1155/2014/259297zbMath1406.91458OpenAlexW2003213109WikidataQ59037082 ScholiaQ59037082MaRDI QIDQ1722471

Xiaotong Mao, Yindong Zhang, Kaili Xiang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/259297

zbMATH Keywords

jump-diffusion modelextended Vasicek modelfractional Brownian motion, stochastic exchange ratepower options

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Towards a better understanding of fractional Brownian motion and its application to finance ⋮ Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate

Cites Work

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• The Pricing of Options and Corporate Liabilities
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A General Fractional White Noise Theory And Applications To Finance
• Perpetual American options with fractional Brownian motion

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