Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
Copyright policy )Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
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- Alma Mater Studiorum University of Bologna Italy
- University of Tabriz Iran (Islamic Republic of)
Asian option, Numerical methods (including Monte Carlo methods), PDEs in connection with game theory, economics, social and behavioral sciences, mixed fractional Brownian motion, multi-asset option, Asian option; Mixed fractional Brownian motion; Multi-asset option; Non-Markov process; Rainbow options, rainbow options, Interest rates, asset pricing, etc. (stochastic models), non-Markov process
Asian option, Numerical methods (including Monte Carlo methods), PDEs in connection with game theory, economics, social and behavioral sciences, mixed fractional Brownian motion, multi-asset option, Asian option; Mixed fractional Brownian motion; Multi-asset option; Non-Markov process; Rainbow options, rainbow options, Interest rates, asset pricing, etc. (stochastic models), non-Markov process
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