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zbMATH Open1449.91160MaRDI QIDQ3307713

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Publication date: 12 August 2020

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zbMATH Keywords

continuity\({L^p}\) boundednessarithmetic average Asian optionfractional jump diffusion Heston model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74)

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