scientific article; zbMATH DE number 6262920

zbMath1289.91174MaRDI QIDQ5398989

Chaolin He, Mingxuan Shen

Publication date: 28 February 2014

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

zbMATH Keywords

fractional Brownian motionAsian optionsgeometric averagefloated-strike

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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