scientific article

zbMath1349.91286MaRDI QIDQ2991513

Sheng-Wu Zhou, Feng Xu

Publication date: 10 August 2016

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingmixed fractional Brownian motionperpetual American optionmixed fractional Black-Scholes model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)