scientific article; zbMATH DE number 797365
From MaRDI portal
Publication:4848525
zbMath0827.60021MaRDI QIDQ4848525
P. Ekkehard Kopp, Walter Willinger, Nigel J. Cutland
Publication date: 4 December 1995
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
fractional Brownian motionBlack-Scholes modelmathematical financeefficient marketsarbitrage opportunitieslong- range dependence
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)
Related Items (31)
Variational solutions for partial differential equations driven by a fractional noise ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ A higher-order interactive hidden Markov model and its applications ⋮ Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift ⋮ Local and implied volatilities with the mixed-modified-fractional-Dupire model ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ Modelling NASDAQ series by sparse multifractional Brownian motion ⋮ Perpetual American options with fractional Brownian motion ⋮ Unnamed Item ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ On the mixed fractional Brownian motion ⋮ Correcting Newton-Côtes integrals by Lévy areas ⋮ Option pricing of a mixed fractional-fractional version of the Black-Scholes model ⋮ The fractional mixed fractional brownian motion and fractional brownian sheet ⋮ Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets ⋮ Variational solutions for a class of fractional stochastic partial differential equations ⋮ Some long-range dependence processes arising from fluctuations of particle systems ⋮ Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion. ⋮ Estimation in models driven by fractional Brownian motion ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ Tolerance to arbitrage ⋮ The fractional and mixed-fractional CEV model ⋮ Existence and uniqueness of solutions for a fractional order antiperiodic boundary value problem with a \(p\)-Laplacian operator ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models ⋮ Gaussian moving averages, semimartingales and option pricing. ⋮ Possible long-range dependence in fractional random fields. ⋮ A critical look at Lo's modified \(R/S\) statistic. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
This page was built for publication:
