Pricing of perpetual American put option with sub-mixed fractional Brownian motion

DOI10.1515/fca-2019-0060zbMath1439.91035OpenAlexW2981927952WikidataQ126990925 ScholiaQ126990925MaRDI QIDQ2175773

Sheng-Wu Zhou, Feng Xu

Publication date: 30 April 2020

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/fca-2019-0060

zbMATH Keywords

option pricingpricing modelsperpetual American optionsub-mixed fractional Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The sub-fractional CEV model

Cites Work

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• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• A note on Wick products and the fractional Black-Scholes model
• Covariance measure and stochastic heat equation with fractional noise
• Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market

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