Mixed fractional Heston model and the pricing of American options (Q1675943): Difference between revisions

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Property / DOI: 10.1016/j.cam.2017.08.002 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.cam.2017.08.002 / rank
 
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Latest revision as of 02:40, 11 December 2024

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Mixed fractional Heston model and the pricing of American options
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    Mixed fractional Heston model and the pricing of American options (English)
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    3 November 2017
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    Heston model
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    mixed fractional Brownian motion
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    Euler discretization method
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    American option
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