Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

DOI10.1016/j.cnsns.2024.107955OpenAlexW4392520457MaRDI QIDQ6131370

Ji Chao Zhang, Kefan Liu, Yue-Ting Yang

Publication date: 5 April 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2024.107955

zbMATH Keywords

Malliavin calculusmixed fractional Brownian motionoption hedginglookback-barrier option

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing in fractional Brownian markets
• The fractional mixed fractional Brownian motion.
• Arbitrage in fractional Brownian motion models
• Mixed fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Numerically pricing American options under the generalized mixed fractional Brownian motion model
• Pricing currency options in the mixed fractional Brownian motion
• The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
• Outside barrier lookback options with floating strike
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• Stochastic calculus for fractional Brownian motion and related processes.
• Equivalence of floating and fixed strike Asian and lookback options
• A note on Wick products and the fractional Black-Scholes model
• Multiple Wiener integral
• Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
• Double Lookbacks
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• Arbitrage with Fractional Brownian Motion
• A General Fractional White Noise Theory And Applications To Finance
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• Fractional Brownian Motions, Fractional Noises and Applications
• Finite Difference Approximation for Pricing the American Lookback Option

This page was built for publication: Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment