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- W1760480827 abstract "Under the assumption of the underlying asset is driven by the mixed fractional Brownian motion, we obtain the mixed fractional Black-Scholes partial differential equation by fractional Ito formula, and the pricing formula of perpetual American put option by this partial differential equation theory." @default.
- W1760480827 created "2016-06-24" @default.
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- W1760480827 date "2015-06-01" @default.
- W1760480827 modified "2023-09-22" @default.
- W1760480827 title "Pricing Perpetual American Put Option in the Mixed Fractional Brownian Motion" @default.
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