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

@@ Property / DOI @@
-.1016/j.physa.2014.10.056
@@ Property / DOI: 10.1016/j.physa.2014.10.056 / rank @@
-Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
+Normal rank
@@ Property / cites work @@
+What good is a volatility model?
@@ Property / cites work: What good is a volatility model? / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q4792524
@@ Property / cites work: Q4792524 / 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 @@
+Tolerance to arbitrage
@@ Property / cites work: Tolerance to arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian motion, random walks and binary market models
+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 @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+A General Fractional White Noise Theory And Applications To Finance
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3908216
@@ Property / cites work: Q3908216 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q3149666
@@ Property / cites work: Q3149666 / rank @@
+Normal rank
@@ Property / cites work @@
+A fractional calculus interpretation of the fractional volatility model
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.PHYSA.2014.10.056
@@ Property / DOI: 10.1016/J.PHYSA.2014.10.056 / rank @@
+Normal rank