scientific article; zbMATH DE number 7365886
Publication:4998230
DOI10.13338/j.issn.1006-8341.2020.04.020zbMath1474.91246MaRDI QIDQ4998230
Publication date: 1 July 2021
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stochastic differential equationfinite difference methodAmerican option pricingbi-fractional Brownian motionleast square Monte Carlo method
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)