Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
From MaRDI portal
Publication:2039197
DOI10.1155/2021/6612284zbMath1465.91130OpenAlexW3145769642MaRDI QIDQ2039197
Publication date: 2 July 2021
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/6612284
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Pricing American bond options using a penalty method
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- Convergence analysis of a monotonic penalty method for American option pricing
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- A computational scheme for uncertain volatility model in option pricing
- Exact solutions for a generalized nonlinear fractional Fokker-Planck equation
- The fractional mixed fractional Brownian motion.
- Mixed fractional Brownian motion
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- A fitted finite volume method for real option valuation of risks in climate change
- Feed-in tariff or tax-rebate regulation? Dynamic decision model for the solar photovoltaic supply chain
- Pricing American options using a nonparametric entropy approach
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing collar options with stochastic volatility
- Stochastic calculus for fractional Brownian motion and related processes.
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Long-Term Memory in Stock Market Prices
- A General Fractional White Noise Theory And Applications To Finance
- Perpetual American options with fractional Brownian motion
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
- Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
- Dynamic Pricing Game Under Different Channel Power Structures in a Closed-Loop Supply Chain
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
