Results 181 to 190 of about 11,121 (220)

Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps

Japan Journal of Industrial and Applied Mathematics
Rong Wang, Guohe Deng
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Analyzing the dynamic behavior and market efficiency of green energy investments: A geometric and fractional brownian motion approach

Energy Sources, Part B: Economics, Planning, and Policy
Melike Aktaş Bozkurt, Yaşar KÖSE, Serdar Çelik   +2 more
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Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

Physica A: Statistical Mechanics and its Applications, 2018
Abstract In this paper, we study the pricing problem of the continuously monitored fixed and floating strike geometric Asian power options in a mixed fractional Brownian motion environment. First, we derive both closed-form solutions and mixed fractional partial differential equations for fixed and floating strike geometric Asian power options based ...
Wei-Guo Zhang, Yong-Jun Liu, Zhe Li
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Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with w sources of risk in fuzzy environment

Journal of Computational and Applied Mathematics
Abdulaziz Alsenafi, Fares Alazemi, Ali Reza Najafi   +2 more
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Fuzzy Pricing of Geometric Asian Power Options Based on the Time-Changed Process of Mixed Bi-Fractional Brownian Motion

Wenjie Liang, Guitian He, Weiting Zhang, J. Lai   +3 more
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Pricing geometric Asian power options under mixed fractional Brownian motion environment

Physica A: Statistical Mechanics and its Applications, 2016
Abstract It has been observed that the stock price process can be modeled with driving force as a mixed fractional Brownian motion with Hurst index H > 3 4 whenever long-range dependence is possibly present. We obtain a closed form expression for the price of a geometric Asian option under the mixed fractional Brownian motion ...
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Fractional Chern insulators in magic-angle twisted bilayer graphene

Nature, 2021
Yonglong Xie, Jeong Min Park, Daniel E Parker   +2 more
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Signatures of fractional quantum anomalous Hall states in twisted MoTe2

Nature, 2023
, Eric Anderson, Chong Wang
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Thermodynamic evidence of fractional Chern insulator in moiré MoTe2

Nature, 2023
, Patrick Knüppel, Kenji Watanabe
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Observation of fractional edge excitations in nanographene spin chains

Nature, 2021
Shantanu Mishra, Gonçalo Catarina, Fupeng Wu   +2 more
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