Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps
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Publication:5372021
DOI10.4208/eajam.221214.240415azbMath1398.91610OpenAlexW2487181330MaRDI QIDQ5372021
Publication date: 23 October 2017
Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/61d29ce8873a89800c1240165e8037576e6ca6f7
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)
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