AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS (Q6051961)

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scientific article; zbMATH DE number 7740747
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AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
scientific article; zbMATH DE number 7740747

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    AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS (English)
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    20 September 2023
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    equity warrants
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    GMFBM model
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    nonlinear PDE
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    IMEX method
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    error analysis
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    upwind scheme
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