Fractional Processes as Models in Stochastic Finance
Publication:5198556
DOI10.1007/978-3-642-18412-3_3zbMath1239.91001arXiv1004.3106OpenAlexW1780773322MaRDI QIDQ5198556
Christian Bender, Tommi Sottinen, Esko Valkeila
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.3106
ArbitrageFractional Brownian motionApproximation Fractional Brownian motionApproximation of geometric fractional Brownian motionHedge in fractional models
Gaussian processes (60G15) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic integrals (60H05) Portfolio theory (91G10)
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