Monte Carlo simulation pricing based on summation of fractional Gaussian noise (Q2885783)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6040666
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Monte Carlo simulation pricing based on summation of fractional Gaussian noise |
scientific article; zbMATH DE number 6040666 |
Statements
1 June 2012
0 references
fractional Brownian motion
0 references
fractional Gaussian noise
0 references
Monte Carlo simulation
0 references
Monte Carlo simulation pricing based on summation of fractional Gaussian noise (English)
0 references
0.7528836131095886
0 references
0.7484254240989685
0 references
0.7434674501419067
0 references
0.7260100245475769
0 references
