Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications (Q2403735): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.camwa.2017.02.031 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.camwa.2017.02.031 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2606976961 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Selection with Transaction Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3645069 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4211565 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4821531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3006510 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations with fractional Brownian motion input / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4328545 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.CAMWA.2017.02.031 / rank
 
Normal rank

Latest revision as of 10:35, 18 December 2024

scientific article
Language Label Description Also known as
English
Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
scientific article

    Statements

    Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications (English)
    0 references
    0 references
    12 September 2017
    0 references
    fractional Black-Scholes equation
    0 references
    Merton's optimal problem
    0 references
    stochastic differential equation
    0 references

    Identifiers