Financial applications on fractional Levy Stochastic processes
In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by...
保存先:
| 主要な著者: | , |
|---|---|
| フォーマット: | 論文 |
| 出版事項: |
Multidisciplinary Digital Publishing Institute
2022
|
| オンライン･アクセス: | http://psasir.upm.edu.my/id/eprint/101520/ https://www.mdpi.com/2504-3110/6/5/278 |
| タグ: |
タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
|