FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2890970890> ?p ?o ?g. }

• W2890970890 endingPage "52" @default.
• W2890970890 startingPage "27" @default.
• W2890970890 abstract "A new stopping problem and the critical exercise price of American fractional lookback option are developed in the case where the stock price follows a special mixed jump diffusion fractional Brownian motion. By using It ô formula and Wick-It ô -Skorohod integral a new market pricing model is built, and the fundamental solutions of stochastic parabolic partial differential equations are deduced under the condition of Merton assumptions. With an optimal stopping problem and the exercise boundary, the explicit integral representation of early exercise premium and the critical exercise price are also derived. Numerical simulation illustrates the asymptotic behavior of this critical boundary." @default.
• W2890970890 created "2018-09-27" @default.
• W2890970890 creator A5066953997 @default.
• W2890970890 date "2018-09-21" @default.
• W2890970890 modified "2023-10-16" @default.
• W2890970890 title "A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL" @default.
• W2890970890 cites W1793012140 @default.
• W2890970890 cites W1985328029 @default.
• W2890970890 cites W1986746640 @default.
• W2890970890 cites W1990743015 @default.
• W2890970890 cites W1995666097 @default.
• W2890970890 cites W2001194427 @default.
• W2890970890 cites W2011594500 @default.
• W2890970890 cites W2016193062 @default.
• W2890970890 cites W2025505566 @default.
• W2890970890 cites W2044390321 @default.
• W2890970890 cites W2048712136 @default.
• W2890970890 cites W2048869686 @default.
• W2890970890 cites W2052099730 @default.
• W2890970890 cites W2065229282 @default.
• W2890970890 cites W2083694899 @default.
• W2890970890 cites W2085068845 @default.
• W2890970890 cites W2091020988 @default.
• W2890970890 cites W2095508519 @default.
• W2890970890 cites W2104633083 @default.
• W2890970890 cites W2110075495 @default.
• W2890970890 cites W2131371669 @default.
• W2890970890 cites W2150281008 @default.
• W2890970890 cites W2151065060 @default.
• W2890970890 cites W2563372251 @default.
• W2890970890 cites W2607254133 @default.
• W2890970890 cites W2735180064 @default.
• W2890970890 cites W3122167020 @default.
• W2890970890 cites W3125233838 @default.
• W2890970890 cites W3125755367 @default.
• W2890970890 cites W4255989838 @default.
• W2890970890 doi "https://doi.org/10.1017/s0269964818000311" @default.
• W2890970890 hasPublicationYear "2018" @default.
• W2890970890 type Work @default.
• W2890970890 sameAs 2890970890 @default.
• W2890970890 citedByCount "4" @default.
• W2890970890 countsByYear W28909708902021 @default.
• W2890970890 countsByYear W28909708902022 @default.
• W2890970890 crossrefType "journal-article" @default.
• W2890970890 hasAuthorship W2890970890A5066953997 @default.
• W2890970890 hasConcept C105795698 @default.
• W2890970890 hasConcept C108819105 @default.
• W2890970890 hasConcept C112401455 @default.
• W2890970890 hasConcept C121332964 @default.
• W2890970890 hasConcept C126255220 @default.
• W2890970890 hasConcept C134306372 @default.
• W2890970890 hasConcept C143724316 @default.
• W2890970890 hasConcept C151730666 @default.
• W2890970890 hasConcept C162118730 @default.
• W2890970890 hasConcept C162324750 @default.
• W2890970890 hasConcept C17744445 @default.
• W2890970890 hasConcept C199539241 @default.
• W2890970890 hasConcept C2776359362 @default.
• W2890970890 hasConcept C2778311368 @default.
• W2890970890 hasConcept C2779664328 @default.
• W2890970890 hasConcept C2780695682 @default.
• W2890970890 hasConcept C28826006 @default.
• W2890970890 hasConcept C2988984586 @default.
• W2890970890 hasConcept C33923547 @default.
• W2890970890 hasConcept C62354387 @default.
• W2890970890 hasConcept C62520636 @default.
• W2890970890 hasConcept C86803240 @default.
• W2890970890 hasConcept C94625758 @default.
• W2890970890 hasConcept C99414536 @default.
• W2890970890 hasConcept C99888217 @default.
• W2890970890 hasConceptScore W2890970890C105795698 @default.
• W2890970890 hasConceptScore W2890970890C108819105 @default.
• W2890970890 hasConceptScore W2890970890C112401455 @default.
• W2890970890 hasConceptScore W2890970890C121332964 @default.
• W2890970890 hasConceptScore W2890970890C126255220 @default.
• W2890970890 hasConceptScore W2890970890C134306372 @default.
• W2890970890 hasConceptScore W2890970890C143724316 @default.
• W2890970890 hasConceptScore W2890970890C151730666 @default.
• W2890970890 hasConceptScore W2890970890C162118730 @default.
• W2890970890 hasConceptScore W2890970890C162324750 @default.
• W2890970890 hasConceptScore W2890970890C17744445 @default.
• W2890970890 hasConceptScore W2890970890C199539241 @default.
• W2890970890 hasConceptScore W2890970890C2776359362 @default.
• W2890970890 hasConceptScore W2890970890C2778311368 @default.
• W2890970890 hasConceptScore W2890970890C2779664328 @default.
• W2890970890 hasConceptScore W2890970890C2780695682 @default.
• W2890970890 hasConceptScore W2890970890C28826006 @default.
• W2890970890 hasConceptScore W2890970890C2988984586 @default.
• W2890970890 hasConceptScore W2890970890C33923547 @default.
• W2890970890 hasConceptScore W2890970890C62354387 @default.
• W2890970890 hasConceptScore W2890970890C62520636 @default.
• W2890970890 hasConceptScore W2890970890C86803240 @default.
• W2890970890 hasConceptScore W2890970890C94625758 @default.
• W2890970890 hasConceptScore W2890970890C99414536 @default.
• W2890970890 hasConceptScore W2890970890C99888217 @default.
• W2890970890 hasIssue "1" @default.
• W2890970890 hasLocation W28909708901 @default.
• W2890970890 hasOpenAccess W2890970890 @default.

• next