A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS (Q5403254): Difference between revisions
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Revision as of 07:26, 13 February 2024
scientific article; zbMATH DE number 6273967
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS |
scientific article; zbMATH DE number 6273967 |
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A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS (English)
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25 March 2014
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option pricing
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implied volatility
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finite difference method
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Richardson extrapolation
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