Stochastic volatility models with volatility driven by fractional Brownian motions (Q268815): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6569620 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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fractional Brownian motion | |||
| Property / zbMATH Keywords: fractional Brownian motion / rank | |||
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financial models | |||
| Property / zbMATH Keywords: financial models / rank | |||
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Revision as of 16:05, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility models with volatility driven by fractional Brownian motions |
scientific article |
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Stochastic volatility models with volatility driven by fractional Brownian motions (English)
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15 April 2016
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stochastic volatility
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fractional Brownian motion
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financial models
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