scientific article
zbMath1363.91132MaRDI QIDQ2833517
Angela Slavova, Nikolay Kyurkchiev
Publication date: 18 November 2016
Full work available at URL: http://www.math.bas.bg/~pliska/Pliska-25/Pliska-25-2015-175-182.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
\(\alpha \)-subordinated Brownian motionCAS MATHEMATICAoption pricing with and without transaction costs modulesself-financing delta-hedging strategy
Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20)
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