Generating sample paths and their convergence of the geometric fractional Brownian motion (Q4583455)
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scientific article; zbMATH DE number 6929693
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| English | Generating sample paths and their convergence of the geometric fractional Brownian motion |
scientific article; zbMATH DE number 6929693 |
Statements
30 August 2018
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discrete asset model
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Monte Carlo
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geometric fractional Brownian motion
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Malliavin calculus
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Euler-Maruyama scheme
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Black-Scholes model
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0.7879248261451721
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0.7702149152755737
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0.7604551315307617
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