A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
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Publication:508259
DOI10.1016/j.chaos.2016.04.008zbMath1375.91221OpenAlexW2340717850MaRDI QIDQ508259
Luca Vincenzo Ballestra, Graziella Pacelli, Davide Radi
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2016.04.008
numerical methodintegral equationsproduct integrationbarrier option pricingmixed fractional Brownian motion
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20)
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