Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models With Fractional Brownian Motion and Stochastic Rate

Applied Mathematics
doi 10.4236/am.2014.516234
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Scientific Research Publishing, Inc,

Related search

American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models

Proceedings of the American Control Conference
Electronic EngineeringElectrical
2007English

Perpetual Barrier Options in Jump-Diffusion Models

Stochastics
ModelingStatisticsProbabilitySimulation
2007English

On Hedging European Options in Geometric Fractional Brownian Motion Market Model

Statistics & Decisions
2009English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

Asian Option Pricing With Monotonous Transaction Costs Under Fractional Brownian Motion

Journal of Applied Mathematics
Applied Mathematics
2013English

Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2011English

Pricing Vulnerable Options With Jump Clustering

Journal of Futures Markets
ManagementFinanceBusinessEconomicsAccountingEconometrics
2017English

Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

Communications in Information and Systems
2015English

Stochastic Target Problems With Controlled Loss in Jump Diffusion Models

SIAM Journal on Control and Optimization
ControlApplied MathematicsOptimization
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy