Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 11:12, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics |
scientific article |
Statements
Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (English)
0 references
8 March 2007
0 references
Black-Merton-Scholes model
0 references
fractional Brownian motion
0 references
absence of arbitrage
0 references
