American option pricing by the stochastic mesh method under Fractional Brownian movement of the underlying asset
The main definitions and results of the Brownian Fractional Movement (mbf) and the way in which its incorporation in the stochastic mesh method allows the valuation of American call and put options are presented. According to the results obtained, the premium of the American option has a tendency to...
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| Formato: | Artículo (Article) |
| Lenguaje: | Español (Spanish) |
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Facultad de Finanzas, Gobierno y Relaciones Internacionales
2018
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| Acceso en línea: | https://revistas.uexternado.edu.co/index.php/odeon/article/view/5638 |