On arbitrage and replication in the fractional Black–Scholes pricing model (Q4459750): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 15:55, 5 March 2024
scientific article; zbMATH DE number 2065091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On arbitrage and replication in the fractional Black–Scholes pricing model |
scientific article; zbMATH DE number 2065091 |
Statements
On arbitrage and replication in the fractional Black–Scholes pricing model (English)
0 references
18 May 2004
0 references
fractional Brownian motion
0 references
fractional Black-Scholes model
0 references
arbitrage
0 references
option pricing
0 references
replication
0 references
stochastic integration
0 references
pathwise stochastic integration
0 references
Malliavin calculus
0 references
