Asian option pricing with monotonous transaction costs under fractional Brownian motion
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Publication:1789869
DOI10.1155/2013/352021zbMath1397.91575DBLPjournals/jam/PanZZH13OpenAlexW1971038965WikidataQ59005508 ScholiaQ59005508MaRDI QIDQ1789869
Di Pan, Yan Zhang, Miao Han, Sheng-Wu Zhou
Publication date: 10 October 2018
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/352021
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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