Almost sure and moment stability properties of fractional order Black-Scholes model

DOI10.2478/S13540-013-0020-0zbMath1333.60132OpenAlexW1986873957MaRDI QIDQ2347308

Caibin Zeng, Qi-Gui Yang, Yang Quan Chen

Publication date: 27 May 2015

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s13540-013-0020-0

zbMATH Keywords

fractional Brownian motionstochastic stabilitylarge deviationsHurst parameterfractional order Black-Scholes model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Large deviations (60F10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• longmemo

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