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scientific article; zbMATH DE number 5585127 - MaRDI portal

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zbMath1174.60391MaRDI QIDQ5322781

Hong Xue, La-Sheng Wang

Publication date: 22 July 2009

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

zbMATH Keywords

fractional Brownian motion contingent claim maximum or minimum option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models

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