Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320): Difference between revisions

@@ Property / author @@
-Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
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@@ Property / author @@
+Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/17442500600859317
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@@ Property / OpenAlex ID @@
+W2055261816
@@ Property / OpenAlex ID: W2055261816 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
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@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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@@ Property / cites work @@
+A General Fractional White Noise Theory And Applications To Finance
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@@ Property / cites work @@
+On arbitrage and replication in the fractional Black–Scholes pricing model
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@@ Property / cites work @@
+The absence of arbitrage in a model with fractal Brownian motion
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@@ Property / cites work @@
+LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
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@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
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@@ Property / cites work @@
+Integration with respect to Fractal Functions and Stochastic Calculus II
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@@ Property / cites work @@
+The generalized covariation process and Itô formula
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@@ Property / cites work @@
+On fractional Brownian processes
@@ Property / cites work: On fractional Brownian processes / rank @@
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@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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@@ links / mardi / name / links / mardi / name @@
+Publication:3426320