Found 17 Documents (Results 1–17)
Pricing vulnerable options in fractional Brownian markets: a partial differential equations approach. (English) Zbl 1537.91329
Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk. (English) Zbl 07888959
MSC:
62-XX
Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent. (English) Zbl 1468.60046
Reviewer: B. L. S. Prakasa Rao (Hyderabad)
MSC:
60G22
Optimization of small deviation for mixed fractional Brownian motion with trend. (English) Zbl 1498.60150
Valuation of the vulnerable option price based on mixed fractional Brownian motion. (English) Zbl 1422.91718
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion. (English) Zbl 1375.91221
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model. (English) Zbl 1352.60031
Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent. (English. Ukrainian original) Zbl 1326.60076
Theory Probab. Math. Stat. 90, 13-22 (2015); translation from Teor. Jmovirn. Mat. Stat. 90, 13–21 (2014).
Asymptotic behavior of mixed power variations and statistical estimation in mixed models. (English) Zbl 1329.60102
A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval. (English. Russian original) Zbl 1243.60034
Theory Probab. Math. Stat. 83, 13-25 (2011); translation from Teor. Jmovirn. Mat. Stat. 83, 12-21 (2010).
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