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A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion
16 references·0 citing·40 second hop
A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion (2022)A Monte-Carlo approach for pricing arithm…Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…Time-lag cross-correlations in collective phenomena (2010)Time-lag cross-correlations i…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Long memory and volatility clustering: Is the empirical evidence consistent across stock markets? (2008)Long memory and volatility cl…Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Fractional Diffusion Models o…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study (2000)Simulation and Identification…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…A pricing method for options based on average asset values (1990)A pricing method for options …Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)A Lattice Framework for Option Pricing with Two State Variables (1988)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)On bifractional Brownian motion (2005)Stochastic Integration and Differential Equations (2005)Some properties of the sub-fractional Brownian motion (2006)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)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 options for alternative stochastic processes (1976)Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Valuation of High Dimensional Multivariate American Securities (1995)A stochastic mesh method for pricing high-dimensional American options (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Quick Algorithm for Pricing European Average Options (1991)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)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)
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References

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  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
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  • 1982Options on the minimum or the maximum of two risky assets553 cited
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  • 2006Fractional Diffusion Models of Option Prices in Markets With Jumps355 cited
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  • 2000Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study168 cited
  • 2008Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?104 cited

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  • 2013Pricing currency options in the mixed fractional Brownian motion74 cited
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