Gaussian moving averages, semimartingales and option pricing. (Q2574617): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2003.08.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2006972204
@@ Property / OpenAlex ID: W2006972204 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4802415
@@ Property / cites work: Q4802415 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4848525
@@ Property / cites work: Q4848525 / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Q3149666
@@ Property / cites work: Q3149666 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3969644
@@ Property / cites work: Q3969644 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3685765
@@ Property / cites work: Q3685765 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation of Gaussian processes equivalent to Wiener process
+Normal rank
@@ Property / cites work @@
+Gaussian quasimartingales
@@ Property / cites work: Gaussian quasimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4279446
@@ Property / cites work: Q4279446 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Über die Struktur stationärer zufälliger Funktionen
+Normal rank
@@ Property / cites work @@
+Q4002918
@@ Property / cites work: Q4002918 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3995465
@@ Property / cites work: Q3995465 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+On Helixes in Hilbert Space. I
@@ Property / cites work: On Helixes in Hilbert Space. I / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasimartingales, martingales locales, semimartingales et filtration naturelle
+Normal rank
@@ Property / cites work @@
+Semimartingales gaussiennes — application au probleme de l'innovation
+Normal rank
@@ Property / cites work @@
+Q3336450
@@ Property / cites work: Q3336450 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock market prices and long-range dependence
@@ Property / cites work: Stock market prices and long-range dependence / rank @@
+Normal rank