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Monte Carlo simulation pricing based on summation of fractional Gaussian noise - MaRDI portal

Monte Carlo simulation pricing based on summation of fractional Gaussian noise

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Publication:2885783

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zbMATH Open1249.91031MaRDI QIDQ2885783

Publication date: 1 June 2012

Published in: Transactions of Beijing Institute of Technology (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion Monte Carlo simulation fractional Gaussian noise

Mathematics Subject Classification ID

Brownian motion (60J65) Fractals (28A80)

Related Items (1)

PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES

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