Evaluation of integrals with fractional Brownian motion for different Hurst indices
DOI10.1080/00207160.2022.2163166zbMath1524.60077arXiv2203.02323OpenAlexW4313478172MaRDI QIDQ6106716
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Publication date: 3 July 2023
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2203.02323
fractional Brownian motionanalytic continuationconditional density functionfractional Ornstein-Uhlenbeck processCOS method option pricing
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)
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