SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
16 references·6 citing·37 second hop
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (2016)A very efficient approach for pricing bar…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …PDE and Martingale Methods in Option Pricing (2011)PDE and Martingale Methods in…Options, futures and other derivatives (2008)Options, futures and other de…Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Pricing Options in Jump-Diffu…A note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Pricing Asian options under the mixed fractional Brownian motion with jumps (2024)Pricing Asian options under t…Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options (2021)Numerical pricing based on fr…Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (2020)Pricing geometric Asian rainb…Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps (2020)Pricing European Option Under…A Mellin transform approach to barrier option pricing (2018)A Mellin transform approach t…Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (2017)Analytical pricing of geometr…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Value at Risk (2000)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2008Options, futures and other derivatives646 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 2011PDE and Martingale Methods in Option Pricing278 cited
  • 2005A note on Wick products and the fractional Black-Scholes model207 cited
  • 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

168 cited

Cited by

  • 2018A Mellin transform approach to barrier option pricing35 cited
  • 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps33 cited
  • 2017Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion30 cited
  • 2021Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options30 cited
  • 2020Pricing geometric Asian rainbow options under the mixed fractional Brownian motion27 cited
  • 2024Pricing Asian options under the mixed fractional Brownian motion with jumps24 cited