scientific article; zbMATH DE number 7800954

MaRDI QIDQ6188278

Jingjun Guo, Bo Peng

Publication date: 7 February 2024

Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I2/168

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

zbMATH Keywords

option pricingtransaction costsjump diffusionsub-fractional Brownian motion

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing double-barrier options under a flexible jump diffusion model
• Black-Scholes formula in subdiffusive regime
• On the sub-mixed fractional Brownian motion
• Arbitrage with fractional Gaussian processes
• Some properties of the sub-fractional Brownian motion
• Option pricing when underlying stock returns are discontinuous
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