Numerically pricing American options under the generalized mixed fractional Brownian motion model

DOI10.1016/j.physa.2015.12.154zbMath1400.91650OpenAlexW2291769790MaRDI QIDQ1619383

Bowen Yan, Ying Zhang, Guang-Hua Lian, Wen-Ting Chen

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.154

zbMATH Keywords

linear complementarity problemAmerican optionsupwind schemegeneralized mixed fractional Brownian motion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Arbitrage with fractional Gaussian processes ⋮ Testing stationarity of the detrended price return in stock markets ⋮ On the numerical solution of time fractional Black-Scholes equation ⋮ AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS ⋮ Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment ⋮ Fractional Brownian motion with two-variable Hurst exponent ⋮ Numerical approximation of a time-fractional Black-Scholes equation ⋮ Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods ⋮ COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL

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