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zbMath1199.91234MaRDI QIDQ3402855

Litan Yan, Zheng Yu

Publication date: 12 February 2010

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

zbMATH Keywords

option mixed fractional Brownian motion quasi-conditional expectation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing geometric Asian power options under mixed fractional Brownian motion environment ⋮ OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

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