Asian Option Pricing With Monotonous Transaction Costs Under Fractional Brownian Motion

Journal of Applied Mathematics - United States
doi 10.1155/2013/352021
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Hindawi Limited

Related search

Option Pricing for Processes Driven by Mixed Fractional Brownian Motion With Superimposed Jumps

Probability in the Engineering and Informational Sciences
IndustrialProbabilityUncertaintyManufacturing EngineeringManagement ScienceStatisticsOperations Research
2015English

The Pricing for Warrant Bonds Under Double Fractional Brownian Motion

Advances in Applied Mathematics
2014English

A Note on Melnikov-Petrachenko Option Pricing in Binomial Market With Transaction Costs

SSRN Electronic Journal
2005English

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Finance and Stochastics
UncertaintyStatisticsFinanceProbability
2012English

An Option to Reduce Transaction Costs

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2011English

Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes

1994English

Dynamic Arbitrage-Free Asset Pricing With Proportional Transaction Costs

Mathematical Finance
FinanceApplied MathematicsEconomicsEconometricsAccountingSocial Sciences
2002English

Option Pricing Using the Fractional FFT

Journal of Computational Finance
Applied MathematicsComputer Science ApplicationsFinance
2004English

An Empirical Study of Option Prices Under the Hybrid Brownian Motion Model

Journal of Mathematical Finance
2013English

Amanote Research

Note-taking for researchers

Follow Amanote

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

Privacy PolicyRefund Policy