Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment

DOI10.1155/2017/5904125zbMath1427.91284OpenAlexW2735180064WikidataQ59147645 ScholiaQ59147645MaRDI QIDQ1992912

Zhaoqiang Yang

Publication date: 5 November 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/5904125

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items

A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL, Optimal investment and life insurance strategies in a mixed jump-diffusion framework, Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge, Default probability of American lookback option in a mixed jump-diffusion model

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• On the mixed fractional Brownian motion
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• The fractional mixed fractional Brownian motion.
• Mixed fractional Brownian motion
• Pricing currency options in the mixed fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
• An analytic pricing formula for lookback options under stochastic volatility
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Early exercise policies of American floating strike and fixed strike lookback options.
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Equivalence of floating and fixed strike Asian and lookback options
• A note on Wick products and the fractional Black-Scholes model
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Exercise Regions And Efficient Valuation Of American Lookback Options
• OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
• Stochastic Calculus for Fractional Brownian Motion and Applications