No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279): Difference between revisions

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Property / DOI: 10.1016/j.physa.2014.10.056 / rank
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Property / MaRDI profile type: MaRDI publication profile / rank
 
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Property / OpenAlex ID: W2130252893 / rank
 
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Property / arXiv ID: 1205.2866 / rank
 
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Latest revision as of 11:10, 11 December 2024

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No-arbitrage, leverage and completeness in a fractional volatility model
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    No-arbitrage, leverage and completeness in a fractional volatility model (English)
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    20 September 2018
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    fractional noise
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    arbitrage
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    market completeness
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