Numerically pricing American options under the generalized mixed fractional Brownian motion model
type: Item
instance of: scholarly article
title: Numerically pricing American options under the generalized mixed fractional Brownian motion model
zbMATH Open document ID: 1400.91650
author: Bowen Yan
author: Ying Zhang
author: Wen-Ting Chen
author: Guang-Hua Lian
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6977992
zbMATH Keywords: generalized mixed fractional Brownian motion
zbMATH Keywords: American options
zbMATH Keywords: upwind scheme
zbMATH Keywords: linear complementarity problem
MaRDI profile type: Publication
full work available at URL: j.physa.2015.12.154
OpenAlex ID: W2291769790
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DOI: 10.1016/J.PHYSA.2015.12.154
description: scientific article; zbMATH DE number 6977992