A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
DOI10.12732/IJAM.V26I2.7zbMATH Open1292.91184OpenAlexW2134188583MaRDI QIDQ5403254FDOQ5403254
Authors: Liliana Cecere, Luca Vincenzo Ballestra 
Publication date: 25 March 2014
Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12732/ijam.v26i2.7
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Extrapolation to the limit, deferred corrections (65B05)
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- Title not available (Why is that?)
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
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- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
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