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Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
14 references·0 citing·37 second hop
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs (2016)Pricing European options and currency opt…Pricing European option under the time-changed mixed Brownian-fractional Brownian model (2014)Pricing European option under…Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment (2014)Pricing Currency Option in a …- Theory and applications (2013)- Theory and applicationsTime-changed geometric fractional Brownian motion and option pricing with transaction costs (2012)Time-changed geometric fracti…Black-Scholes Formula in Subdiffusive Regime (2009)Black-Scholes Formula in Subd…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Pricing Foreign Currency and Cross-Currency Options Under GARCH (1999)Pricing Foreign Currency and …Advances in Futures and Options Research (1996)Advances in Futures and Optio…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…Pricing Foreign Index Contingent Claims (1993)Pricing Foreign Index Conting…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Foreign currency option values (1983)Foreign currency option valuesThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Option Pricing in Subdiffusive Bachelier Model (2011)Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description (2011)Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing (2020)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option (2015)Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)Modeling Financial Data with Stable Distributions (2003)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Carry Trades and Global Foreign Exchange Volatility (2012)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)New Evidence on Agricultural Commodity Return Performance under Time‐Varying Risk (1997)Estimating volatility and dividend yield when valuing real options to invest or abandon (1998)Hedging index exchange traded funds (2007)Narver and Slater, Kohli and Jaworski and the market orientation construct: integration and internationalization (1995)Automation Bias in Intelligent Time Critical Decision Support Systems (2004)Why do small and medium enterprises use social media marketing and what is the impact: Empirical insights from India (2020)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)
this work references cited by second hop

References

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  • 2013- Theory and applications1,554 cited
  • 1983Foreign currency option values1,078 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
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  • 2009Black-Scholes Formula in Subdiffusive Regime101 cited
  • 2014Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment52 cited
  • 1993Pricing Foreign Index Contingent Claims49 cited
  • 1999Pricing Foreign Currency and Cross-Currency Options Under GARCH47 cited
  • 2012Time-changed geometric fractional Brownian motion and option pricing with transaction costs46 cited
  • 2014Pricing European option under the time-changed mixed Brownian-fractional Brownian model39 cited

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