Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation

DOI10.1142/9789814571647_0007zbMATH Open1319.91158OpenAlexW4251805459MaRDI QIDQ5256603

C. M. Tam

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: http://www.intechopen.com/articles/show/title/fractional-brownian-motions-in-financial-models-and-their-monte-carlo-simulation

zbMATH Keywords

fractional Brownian motionstochastic volatilityasymptotic approximationvolatility persistenceimplied volatility surfacepricing European options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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