Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion

DOI10.1155/2021/6612284zbMath1465.91130OpenAlexW3145769642MaRDI QIDQ2039197

Jing Wang, Yuling Wang

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

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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