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Lattice-based model for pricing contingent claims under mixed fractional Brownian motion.

Massimo CostabileIvar MassabòEmilio RussoAlessandro Staino
Published in: Commun. Nonlinear Sci. Numer. Simul. (2023)
Keyphrases
  • mathematical model
  • probabilistic model
  • fractional brownian motion
  • long term
  • multiresolution
  • semi supervised
  • maximum likelihood
  • short term
  • long range