Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility (Q4821629): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/10451120410001710138 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2000528499 / rank | |||
Normal rank | |||
Latest revision as of 21:27, 19 March 2024
scientific article; zbMATH DE number 2108991
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility |
scientific article; zbMATH DE number 2108991 |
Statements
Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility (English)
0 references
21 October 2004
0 references
fractional Brownian financial market
0 references
Wick integration
0 references
