Pricing European option under fuzzy mixed fractional Brownian motion model with jumps
Wei-Guo Zhang, Zhe Li, Yong-Jun Liu, Yue Zhang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Wei-guo ; Li, Zhe ; Liu, Yong-Jun ; Zhang, Yue |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 58.2021, 2, p. 483-515
|
| Subject: | Fuzzy stochastic differential equation | Mixed fractional Brownian motion | European option pricing | Fuzzy jump-diffusion | Interpolation search algorithm | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Fuzzy-Set-Theorie | Fuzzy sets | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10043-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615049