scientific article; zbMATH DE number 7266844

DOI10.3969/J.ISSN.1001-8735.2020.02.008zbMath1463.91159MaRDI QIDQ5127733

Yimeng Zhu, Pian Liu, Jin-Liang Zhang

Publication date: 27 October 2020

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

zbMATH Keywords

option pricingpartial differential equation methodfractional Hull-White interest rate modeljump-fraction process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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