Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation (Q5256603)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation |
scientific article; zbMATH DE number 6447352
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation |
scientific article; zbMATH DE number 6447352 |
Statements
Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation (English)
0 references
19 June 2015
0 references
fractional Brownian motion
0 references
stochastic volatility
0 references
asymptotic approximation
0 references
implied volatility surface
0 references
volatility persistence
0 references
pricing European options
0 references
0.92412245
0 references
0.91691875
0 references
0.9162665
0 references
