Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
type: Item
instance of: scholarly article
title: Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
zbMATH Open document ID: 1427.91284
DOI: 10.1155/2017/5904125
author: Zhaoqiang Yang
published in: Mathematical Problems in Engineering
publication date: 2018-11-05T00:00:00Z
review text: Summary: A new framework for pricing the American fractional lookback option is developed in the case where the stock price follows a mixed jump-diffusion fraction Brownian motion. By using Itô formula and Wick-Itô-Skorohod integral a new market pricing model is built. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given. Numerical simulation illustrates some notable features of American fractional lookback options.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J74
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6972264
Wikidata QID: Q59147645
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/5904125
OpenAlex ID: W2735180064
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description: scientific article; zbMATH DE number 6972264