Scientific Research An Academic Publisher
OPEN ACCESS
Add your e-mail address to receive free newsletters from SCIRP.
Select Journal AA AAD AAR AASoci AAST ABB ABC ABCR ACES ACS ACT AD ADR AE AER AHS AID AiM AIT AJAC AJC AJCC AJCM AJIBM AJMB AJOR AJPS ALAMT ALC ALS AM AMI AMPC ANP APD APE APM ARS ARSci AS ASM BLR CC CE CellBio ChnStd CM CMB CN CRCM CS CSTA CUS CWEEE Detection EMAE ENG EPE ETSN FMAR FNS GEP GIS GM Graphene GSC Health IB ICA IIM IJAA IJAMSC IJCCE IJCM IJCNS IJG IJIDS IJIS IJMNTA IJMPCERO IJNM IJOC IJOHNS InfraMatics JACEN JAMP JASMI JBBS JBCPR JBiSE JBM JBNB JBPC JCC JCDSA JCPT JCT JDAIP JDM JEAS JECTC JEMAA JEP JFCMV JFRM JGIS JHEPGC JHRSS JIBTVA JILSA JIS JMF JMGBND JMMCE JMP JPEE JQIS JSBS JSEA JSEMAT JSIP JSS JSSM JST JTR JTST JTTs JWARP LCE MC ME MI MME MNSMS MPS MR MRC MRI MSA MSCE NJGC NM NR NS OALib OALibJ ODEM OJA OJAB OJAcct OJAnes OJAP OJApo OJAppS OJAPr OJAS OJBD OJBIPHY OJBM OJC OJCB OJCD OJCE OJCM OJD OJDer OJDM OJE OJEE OJEM OJEMD OJEpi OJER OJF OJFD OJG OJGas OJGen OJI OJIC OJIM OJINM OJL OJM OJMC OJMetal OJMH OJMI OJMIP OJML OJMM OJMN OJMP OJMS OJMSi OJN OJNeph OJO OJOG OJOGas OJOp OJOph OJOPM OJOTS OJPathology OJPC OJPChem OJPed OJPM OJPP OJPS OJPsych OJRA OJRad OJRD OJRM OJS OJSS OJSST OJST OJSTA OJTR OJTS OJU OJVM OPJ POS PP PST PSYCH SAR SCD SGRE SM SN SNL Soft SS TEL TI UOAJ VP WET WJA WJCD WJCMP WJCS WJET WJM WJNS WJNSE WJNST WJV WSN YM
More>>
Hu, Y. and Oksendal, B. (2000) Fractional White Noise Calculus and Application to Finance. Infinite Dimensional Analysis, Quantum Probability and Related Topics, 6, 1-32. http://dx.doi.org/10.1142/S0219025703001110
has been cited by the following article:
TITLE: Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate
AUTHORS: Jin Li, Kaili Xiang, Chuanyi Luo
KEYWORDS: Stochastic Rate, Fractional Jump-Diffusion Process, Fractional Brown Motion, Power Option
JOURNAL NAME: Applied Mathematics, Vol.5 No.16, August 29, 2014
ABSTRACT: In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.
Related Articles:
Survival Probability of the Quantum Walk with Phase Parameters on the Two-Dimensional Trapped Lattice
Clement Ampadu, Meltem Gönülol, Ekrem Aydıner
DOI: 10.4236/jqis.2013.32010 2,930 Downloads 5,255 Views Citations
Pub. Date: June 10, 2013
Fractional Versions of the Fundamental Theorem of Calculus
Eliana Contharteze Grigoletto, Edmundo Capelas de Oliveira
DOI: 10.4236/am.2013.47A006 7,771 Downloads 11,657 Views Citations
Pub. Date: July 8, 2013
Applications of Fractional Calculus to Newtonian Mechanics
Gabriele U. Varieschi
DOI: 10.4236/jamp.2018.66105 1,081 Downloads 2,104 Views Citations
Pub. Date: June 21, 2018
Fractional Calculus, Fractional Differential Equations and Applications
Mariam Almadi Mohammed Mu’lla
DOI: 10.4236/oalib.1106244 142 Downloads 753 Views Citations
Pub. Date: June 23, 2020
Characteristic Analysis of White Gaussian Noise in S-Transformation Domain
Xinliang Zhang, Yue Qi, Mingzhe Zhu
DOI: 10.4236/jcc.2014.22004 2,991 Downloads 4,863 Views Citations
Pub. Date: January 10, 2014
