On stocks and interest rates modeling in long-range dependent environment (Q3119639): Difference between revisions
From MaRDI portal
Changed an Item |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| 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/10.3233/rda-140109 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1607656666 / rank | |||
Normal rank | |||
Latest revision as of 10:41, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On stocks and interest rates modeling in long-range dependent environment |
scientific article |
Statements
On stocks and interest rates modeling in long-range dependent environment (English)
0 references
12 March 2019
0 references
long-range dependence
0 references
Wiener process
0 references
fractional Brownian motion
0 references
stochastic interest rate
0 references
equivalent probability measure
0 references
pathwise integration
0 references
Itô integration
0 references
arbitrage-free market
0 references
complete market
0 references
option pricing
0 references
