OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES

DOI10.1142/S1793005710001633zbMath1202.91326MaRDI QIDQ5306219

Roy Cerqueti, Giulia Rotundo

Publication date: 8 April 2010

Published in: New Mathematics and Natural Computation (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionoption pricingbarriersHermite ranklong memory property

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

Uses Software

• longmemo

Cites Work

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