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Pricing Asian options under the mixed fractional Brownian motion with jumps
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Pricing Asian options under the mixed fractional Brownian motion with jumps (2024)Pricing Asian options under the mixed fra…Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (2019)Pricing formula for European …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 geometric Asian power options under mixed fractional Brownian motion environment (2015)Pricing geometric Asian power…Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment (2014)Pricing Currency Option in a …Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm (2012)Pricing model for equity warr…A note on the use of fractional Brownian motion for financial modeling (2012)A note on the use of fraction…Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model (2009)Scaling and long-range depend…On the mixed fractional Brownian motion (2006)On the mixed fractional Brown…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Prices and hedge ratios of average exchange rate options (1992)Prices and hedge ratios of av…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…A pricing method for options based on average asset values (1990)A pricing method for options …STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS (1976)Stochastic Differential Equations: Theory and Applications. (1976)Theory of Financial Decision Making. (1988)Equity-linked life insurance: A model with stochastic interest rates (1995)Static Hedging of Asian Options under Lévy Models (2005)Stochastic Volatilities and Correlations of Bond Yields (2007)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Martingales and stochastic integrals in the theory of continuous trading (1981)Continuous Martingales and Brownian Motion (1999)A note on Wick products and the fractional Black-Scholes model (2005)Stochastic Integration and Differential Equations (2005)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)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)Introductory Econometrics for Finance (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)On bifractional Brownian motion (2005)Some properties of the sub-fractional Brownian motion (2006)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equations (2003)Theory of Rational Option Pricing (1973)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)Theory of rational option pricing (2005)A general version of the fundamental theorem of asset pricing (1994)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading (2020)Geometric fractional Brownian motion model for commodity market simulation (2020)The valuation of options for alternative stochastic processes (1976)Options: A Monte Carlo approach (1977)Pricing European average rate currency options (1992)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)A new PDE approach for pricing arithmetic average Asian options (2001)Simulation and the Monte Carlo Method (2016)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)
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References

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  • 2009Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model43 cited
  • 2016A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion

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  • 2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients35 cited
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