Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth (English)
- New search for: Bezborodov, Viktor
- New search for: Di Persio, Luca
- New search for: Mishura, Yuliya
- Further information on Mishura, Yuliya:
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https://orcid.org/0000-0002-6877-1800
- New search for: Bezborodov, Viktor
- New search for: Di Persio, Luca
- New search for: Mishura, Yuliya
- Further information on Mishura, Yuliya:
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https://orcid.org/0000-0002-6877-1800
In:
Methodology and Computing in Applied Probability
;
21
, 1
; 331-366
;
2018
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ISSN:
- Article (Journal) / Print
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Title:Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth
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Contributors:
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Published in:Methodology and Computing in Applied Probability ; 21, 1 ; 331-366
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Publisher:
- New search for: Springer US
- New search for: Springer
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Place of publication:Heidelberg [u.a.]
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Publication date:2018
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ISSN:
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ZDBID:
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DOI:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 31.70 / 31.70$jWahrscheinlichkeitsrechnung / 31.80$jAngewandte Mathematik / 31.80
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Keywords:
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Classification:
BKL: 31.70 Wahrscheinlichkeitsrechnung / 31.70$jWahrscheinlichkeitsrechnung / 31.80$jAngewandte Mathematik / 31.80 Angewandte Mathematik -
Source:
Table of contents – Volume 21, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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First Hitting Time Distributions for Brownian Motion and Regions with Piecewise Linear BoundariesDong, Qinglai / Cui, Lirong et al. | 2018
- 25
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Practical Aspects of False Alarm Control for Change Point Detection: Beyond Average Run LengthKuhn, J. / Mandjes, M. / Taimre, T. et al. | 2018
- 43
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Analysis of a Three-Species Stochastic Delay Predator-Prey System with Imprecise ParametersWu, Jian et al. | 2018
- 69
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Batch Renewal Arrival Process Subject to Geometric CatastrophesBarbhuiya, F. P. / Kumar, Nitin / Gupta, U. C. et al. | 2018
- 85
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A Robust Wald-Type Test for Testing the Equality of Two Means from Log-Normal SamplesBasu, Ayanendranath / Mandal, Abhijit / Martín, Nirian / Pardo, Leandro et al. | 2018
- 109
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Heavy Traffic Limits for the Extreme Waiting Time in Multi-phase Queueing SystemsMinkevičius, Saulius / Greičius, Edvinas et al. | 2018
- 125
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Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov ModulationBoxma, O. J. / Cahen, E. J. / Koops, D. / Mandjes, M. et al. | 2018
- 155
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The Queue G e o/G/1/N + 1 RevisitedChaudhry, M. L. / Goswami, Veena et al. | 2018
- 169
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An Algorithm for Prior Elicitation in Dynamic Bayesian Models for Proportions with the Logit Link FunctionSantos, James D. / Costa, José M. J. et al. | 2018
- 185
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Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable SubordinatorsKumar, A. / Gajda, J. / Wyłomańska, A. / Połoczański, R. et al. | 2018
- 203
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Some Results and Applications of Geometric Counting ProcessesDi Crescenzo, Antonio / Pellerey, Franco et al. | 2018
- 235
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The Slash Lindley-Weibull DistributionReyes, Jimmy / Iriarte, Yuri A. / Jodrá, Pedro / Gómez, Héctor W. et al. | 2018
- 253
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Linear Combination of Independent Exponential Random VariablesLi, Kim-Hung / Li, Cheuk Ting et al. | 2018
- 279
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Many-Candidate Nash Equilibria for Elections Involving Random SelectionRosenthal, Jeffrey S. et al. | 2018
- 295
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Robust Scan Statistics for Detecting a Local Change in Population Mean for Normal DataWu, Qianzhu / Glaz, Joseph et al. | 2018
- 315
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First Passage Time of a Lévy Degradation Model with Random EffectsBalakrishnan, Narayanaswamy / Qin, Chengwei et al. | 2018
- 331
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Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial GrowthBezborodov, Viktor / Persio, Luca / Mishura, Yuliya et al. | 2018
- 367
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Expectation Bayesian Estimation of System Reliability Based on FailuresGholizadeh, Ramin / Londono, Sergio L. M. / Barahona, Manuel J. P. et al. | 2018