Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383)
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scientific article; zbMATH DE number 6977992
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerically pricing American options under the generalized mixed fractional Brownian motion model |
scientific article; zbMATH DE number 6977992 |
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Numerically pricing American options under the generalized mixed fractional Brownian motion model (English)
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13 November 2018
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generalized mixed fractional Brownian motion
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American options
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upwind scheme
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linear complementarity problem
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