AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS

DOI10.1017/s1446181123000159zbMath1520.91433OpenAlexW4386522707MaRDI QIDQ6051961

Wen-Ting Chen, Xiaoying Jiang

Publication date: 20 September 2023

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181123000159

zbMATH Keywords

error analysisnonlinear PDEupwind schemeIMEX methodequity warrantsGMFBM model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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• Far Field Boundary Conditions for Black--Scholes Equations
• Stochastic analysis of fractional brownian motions
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
• Mixtures of higher-order fractional Brownian motions

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