THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE

DOI10.1142/S0219024920500223zbMath1447.91184OpenAlexW3038598635MaRDI QIDQ3304211

Foad Shokrollahi

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500223

zbMATH Keywords

fractional Brownian motionoption pricingMerton short rate modelsubdiffusive processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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