Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.physa.2015.12.154 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.PHYSA.2015.12.154 / rank | |||
Normal rank | |||
Latest revision as of 23:08, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerically pricing American options under the generalized mixed fractional Brownian motion model |
scientific article |
Statements
Numerically pricing American options under the generalized mixed fractional Brownian motion model (English)
0 references
13 November 2018
0 references
generalized mixed fractional Brownian motion
0 references
American options
0 references
upwind scheme
0 references
linear complementarity problem
0 references
0 references
0 references
0 references
0 references
