A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS

DOI10.12732/ijam.v26i2.7zbMath1292.91184OpenAlexW2134188583MaRDI QIDQ5403254

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

zbMATH Keywords

finite difference methodoption pricingRichardson extrapolationimplied volatility

Mathematics Subject Classification ID

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

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