Mixed fractional Heston model and the pricing of American options
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Publication:1675943
DOI10.1016/j.cam.2017.08.002zbMath1376.91162OpenAlexW2753486022MaRDI QIDQ1675943
Publication date: 3 November 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.08.002
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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