Evaluation of integrals with fractional Brownian motion for different Hurst indices-Reference-Cited by-同舟云学术

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Evaluation of integrals with fractional Brownian motion for different Hurst indices

Published:2023-01-06 Issue:4 Volume:100 Page:847-866
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Gao Fei¹^ORCID,Liu Shuaiqiang²^ORCID,Oosterlee Cornelis W.³^ORCID,Temme Nico M.²

Affiliation:

1. School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an, People's Republic of China

2. Research Group of Scientific Computing, Centrum Wiskunde & Informatica, Amsterdam, Netherlands

3. Mathematical Institute, Utrecht University, Utrecht, Netherlands

Funder

China Scholarship Council

Spanish Ministry of Science and Innovation

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2022.2163166

Reference36 articles.

1. Solutions of a disease model with fractional white noise

2. On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

3. Modeling and Pricing in Financial Markets for Weather Derivatives

4. Stochastic Calculus for Fractional Brownian Motion and Applications

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1. A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion;Neurocomputing;2024-03

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