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Publication:3103700
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zbMath1229.91328MaRDI QIDQ3103700

Xin Gu, Yudong Sun, Yimin Shi

Publication date: 8 December 2011

Full work available at URL: http://www.kcam.biz/contents/table_contents_view.php?idx=1273&Len=

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

zbMATH Keywords

fractional Brownian motionBlack-Scholes modelVasicek modelbarrier option pricing


Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)


Related Items (1)

Valuation of the vulnerable option price based on mixed fractional Brownian motion







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