scientific article; zbMATH DE number 6929693

zbMath1394.60035MaRDI QIDQ4583455

Jong-Eun Kim, Hi Jun Choe, Jeong Ho Chu

Publication date: 30 August 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte CarloMalliavin calculusBlack-Scholes modelEuler-Maruyama schemegeometric fractional Brownian motiondiscrete asset model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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