Open AccessT-Stability of the Euler-Maruyama Algorithm for the Generalized Black-Scholes Model with Fractional Brownian Motion
Author(s) -
Hui Yu
Publication year - 2018
Language(s) - English
DOI - 10.23940/ijpe.18.04.p23.815820
Subject(s) - black–scholes model , fractional brownian motion , stability (learning theory) , mathematics , euler's formula , brownian motion , algorithm , computer science , mathematical analysis , econometrics , statistics , machine learning , volatility (finance)