scientific article; zbMATH DE number 6746511

DOI10.3969/J.ISSN.1674-232X.2016.06.016zbMath1374.91129MaRDI QIDQ5276835

Hong Xue, Ying-Ying Dong

Publication date: 14 July 2017

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

zbMATH Keywords

bi-fractional Brownian motionreset optionactuarial approachVasicek rate model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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