Generating sample paths and their convergence of the geometric fractional Brownian motion

MaRDI QIDQ4583455zbMATH OpenFDO

Authors Hi Jun Choe, Jeong Ho Chu, Jong-Eun Kim

Publication date 30 August 2018

zbMATH Keywords

Malliavin calculusMonte CarloBlack-Scholes modelEuler-Maruyama schemegeometric fractional Brownian motiondiscrete asset model

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17)

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Cited in

(2)

• Monte Carlo simulation pricing based on summation of fractional Gaussian noise
• Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus

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