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Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment.
Kefan Liu
Jichao Zhang
Yueting Yang
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2024)
Keyphrases
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fractional brownian motion
financial markets
option pricing
long range
non stationary
pattern recognition
fractal dimension