A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL

DOI10.1017/S0269964818000311zbMath1505.91394OpenAlexW2890970890MaRDI QIDQ5050867

Zhaoqiang Yang

Publication date: 18 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964818000311

zbMATH Keywords

asymptotic behaviorfundamental solutionsoptimal stopping problemWick-Itô-Skorohod integralmixed jump-diffusion fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• On the mixed fractional Brownian motion
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• The fractional mixed fractional Brownian motion.
• Arbitrage in fractional Brownian motion models
• Mixed fractional Brownian motion
• Pricing currency options in the mixed fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
• An analytic pricing formula for lookback options under stochastic volatility
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Early exercise policies of American floating strike and fixed strike lookback options.
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Equivalence of floating and fixed strike Asian and lookback options
• A note on Wick products and the fractional Black-Scholes model
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
• A General Fractional White Noise Theory And Applications To Finance
• Lévy Processes and Stochastic Calculus
• Exercise Regions And Efficient Valuation Of American Lookback Options
• OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
• PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
• Option pricing when underlying stock returns are discontinuous