scientific article

zbMATH Open1449.65183MaRDI QIDQ3307140

Pan Hu

Publication date: 12 August 2020

Title of this publication is not available (Why is that?)

zbMATH Keywords

numerical solutionAsian optionsjump-diffusion modelsub-fractional Brownian motionHo-Lee stochastic interest rate model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Related Items (3)

Title not available (Why is that?) ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Title not available (Why is that?)

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