The pricing and numerical analysis of lookback options for mixed fractional Brownian motion

DOI10.1016/j.chaos.2019.07.038zbMath1483.91230OpenAlexW2966724476MaRDI QIDQ2122319

Qian Zhang, Chu-An Liu, Qisheng Chen

Publication date: 6 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.07.038

zbMATH Keywords

iterative methodEuropean lookback optionMerton hypothesismixed jump-diffusion fractional Brownian motion

Mathematics Subject Classification ID

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

Related Items (3)

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ European option pricing problems with fractional uncertain processes ⋮ Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

Cites Work

• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• A martingale inequality and large deviations.
• Large deviations for martingales.
• Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion

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