Pages that link to "Item:Q3043488"
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The following pages link to FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488):
Displayed 50 items.
- Anticipative backward stochastic differential equations driven by fractional Brownian motion (Q504474) (← links)
- A general non-existence result for linear BSDEs driven by Gaussian processes (Q516011) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions (Q600609) (← links)
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series (Q602483) (← links)
- Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\) (Q621931) (← links)
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Taylor schemes for rough differential equations and fractional diffusions (Q727475) (← links)
- Backward SDEs driven by Gaussian processes (Q740188) (← links)
- Optimal control of non-smooth fractional-order systems based on extended Caputo derivative (Q783440) (← links)
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Nonparametric estimation of fractional option pricing model (Q826418) (← links)
- Viability for differential equations driven by fractional Brownian motion (Q833296) (← links)
- A set-indexed fractional Brownian motion (Q867075) (← links)
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function (Q874339) (← links)
- Convergence theorems for generalized functional sequences of discrete-time normal martingales (Q898211) (← links)
- On the linear fractional self-attracting diffusion (Q927251) (← links)
- \(p\)-variation of an integral functional driven by fractional Brownian motion (Q930091) (← links)
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (Q939363) (← links)
- Fractional Liu process with application to finance (Q970062) (← links)
- Parameter estimation for fractional Ornstein-Uhlenbeck processes (Q973190) (← links)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221) (← links)
- An approach via fractional analysis to non-linearity induced by coarse-graining in space (Q1049470) (← links)
- Probabilistic models for vortex filaments based on fractional Brownian motion. (Q1433882) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion (Q1627970) (← links)
- Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions (Q1637053) (← links)
- Pricing currency options in the mixed fractional Brownian motion (Q1673068) (← links)
- Maximum likelihood estimators of a long-memory process from discrete observations (Q1712209) (← links)
- Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
- Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (Q1722471) (← links)
- The pricing of vulnerable options in a fractional Brownian motion environment (Q1723398) (← links)
- Pricing of equity indexed annuity under fractional Brownian motion model (Q1723974) (← links)
- An averaging principle for stochastic differential delay equations with fractional Brownian motion (Q1724206) (← links)
- Proactive hedging European call option pricing with linear position strategy (Q1727009) (← links)
- Valuation of the vulnerable option price based on mixed fractional Brownian motion (Q1727085) (← links)
- Solvability and stability for neutral stochastic integro-differential equations driven by fractional Brownian motion with impulses (Q1757033) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- Ergodicity of stochastic differential equations driven by fractional Brownian motion (Q1775448) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Stochastic partial differential equations driven by Lévy space-time white noise. (Q1879918) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment (Q1992912) (← links)
- Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion (Q2005024) (← links)
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
- Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure (Q2048833) (← links)
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps (Q2063466) (← links)
- Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
- Proactive hedging European option pricing with a general logarithmic position strategy (Q2073577) (← links)