Pricing of American Carbon Emission Derivatives and Numerical Method under the Mixed Fractional Brownian Motion
This paper studies the pricing of American carbon emission derivatives and its numerical method under the mixed fractional Brownian motion. To capture the long memory properties such as self-similarity and long-range dependence in the price process, we proposed a model based on a fractional Black–Sc...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Wiley
2021-01-01
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| Col·lecció: | Discrete Dynamics in Nature and Society |
| Accés en línia: | http://dx.doi.org/10.1155/2021/6612284 |
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