Monte-Carlo method for option pricing in sub-diffusive arithmetic models

DOI10.17721/1812-5409.2021/2.12zbMath1488.60195OpenAlexW4210595222MaRDI QIDQ5018593

Nataliya Yu. Shchestyuk, S. V. Tyshchenko

Publication date: 21 December 2021

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2021/2.12

zbMATH Keywords

option pricinggamma processsub-diffusionMonte Carlo approach

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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