Pricing Asian options under the mixed fractional Brownian motion with jumps-Reference-Cited by-同舟云学术

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Pricing Asian options under the mixed fractional Brownian motion with jumps

Published:2024-12 Issue: Volume:226 Page:172-183
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Shokrollahi F.,Ahmadian D.^ORCID,Ballestra L.V.

Publisher

Elsevier BV

Reference27 articles.

1. Pricing geometric Asian rainbow options under the mixed fractional Brownian motion;Ahmadian;Phys. A,2020

2. A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion;Ballestra;Chaos Solitons Fractals,2016

3. Arbitrage in a discrete version of the Wick-fractional Black-Scholes market;Bender;Math. Oper. Res.,2004

4. Option pricing of a mixed fractional-fractional version of the Black-Scholes model;Chen;Chaos Solitons Fractals,2004

5. Mixed fractional Brownian motion;Cheridito;Bernoulli,2001

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