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Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment.

Kefan LiuJichao ZhangYueting Yang
Published in: Commun. Nonlinear Sci. Numer. Simul. (2024)
Keyphrases
  • fractional brownian motion
  • financial markets
  • option pricing
  • long range
  • non stationary
  • pattern recognition
  • fractal dimension