Pricing of lookback options under a mixed fractional Brownian movement

DOI10.3969/J.ISSN.1000-5641.2018.04.005zbMath1424.91121OpenAlexW3003947168MaRDI QIDQ4624271

Xiangyan Sun, Haizhen Chen, Sheng-Wu Zhou

Publication date: 22 February 2019

Full work available at URL: https://xblk.ecnu.edu.cn/EN/10.3969/j.issn.1000-5641.2018.04.005

zbMATH Keywords

European lookback optiontransaction feeCrank-Nicolson formatmixed fractional Brownian movement

Mathematics Subject Classification ID

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

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