Publication:4998230

DOI10.13338/j.issn.1006-8341.2020.04.020zbMath1474.91246MaRDI QIDQ4998230

Hong Xue, Yijia Jia, Miao Hu

Publication date: 1 July 2021

zbMATH Keywords

stochastic differential equation; finite difference method; American option pricing; bi-fractional Brownian motion; least square Monte Carlo method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G22: Fractional processes, including fractional Brownian motion

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)