scientific article; zbMATH DE number 6906906

DOI10.13338/J.ISSN.1006-8341.2017.04.013zbMATH Open1399.91117MaRDI QIDQ4574485

Shuqin Liu, Hong Xue

Publication date: 18 July 2018

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zbMATH Keywords

actuarial mathematicsbi-fractional Brownian motionquanto option pricingstochastic analysis theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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