A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259)
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scientific article; zbMATH DE number 6683362
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| English | A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion |
scientific article; zbMATH DE number 6683362 |
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A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (English)
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10 February 2017
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mixed fractional Brownian motion
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barrier option pricing
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numerical method
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integral equations
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product integration
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0.8321182727813721
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0.8304492235183716
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0.8268245458602905
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0.8255773782730103
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