What is it about?
Optimal Exercise Boundary of American Fractional Lookback Option in MJDFBM.
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Why is it important?
The explicit integral representation of early exercise premium and the critical exercise price are also given.
Perspectives
It is very difficult to calculate nonlinear integral terms, we only show that proper assumption holds in Volterra integral equation for the optimal exercise boundary.
Zhaoqiang Yang
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This page is a summary of: Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment, Mathematical Problems in Engineering, January 2017, Hindawi Publishing Corporation,
DOI: 10.1155/2017/5904125.
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