Add to ORKGAbstract. Assume that the underlying asset price follows the fractional jump-diffusion process, the financial market model is built by the stochastic analysis theory for fractional Brownian motion. Using physical probabilistic measure of price process and the principle of fair premium, the pricing formula for reload option is obtained
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We establish double Heston model with approximative fractional stochastic volatility in this article...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the p...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
This study deals with the problem of pricing compound options when the underlying asset follows a mi...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We establish double Heston model with approximative fractional stochastic volatility in this article...
In this paper, we propose a fractional stochastic volatility jump-diffusion model which extends the ...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the p...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
This study deals with the problem of pricing compound options when the underlying asset follows a mi...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fr...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We establish double Heston model with approximative fractional stochastic volatility in this article...