Almost sure and moment stability properties of fractional order Black-Scholes model (Q2347308): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: longmemo / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.2478/s13540-013-0020-0 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1986873957 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus with respect to Gaussian processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the law of the iterated logarithm for Gaussian processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3715980 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4865042 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Calculus for Fractional Brownian Motion and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integration with respect to fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis of the fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957683 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Calculus for Fractional Brownian Motion I. Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: A General Fractional White Noise Theory And Applications To Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random Fourier Transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Wiener integral with respect to the fractional Brownian motion on an interval / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of regime-switching stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5776300 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis of fractional brownian motions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5190149 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for fractional Brownian motion and related processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4247098 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage with Fractional Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional processes and fractional-order signal processing. Techniques and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regularised estimator for long-range dependent processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4438488 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion / rank
 
Normal rank

Latest revision as of 04:02, 10 July 2024

scientific article
Language Label Description Also known as
English
Almost sure and moment stability properties of fractional order Black-Scholes model
scientific article

    Statements

    Almost sure and moment stability properties of fractional order Black-Scholes model (English)
    0 references
    0 references
    0 references
    0 references
    27 May 2015
    0 references
    fractional order Black-Scholes model
    0 references
    fractional Brownian motion
    0 references
    stochastic stability
    0 references
    large deviations
    0 references
    Hurst parameter
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references