scientific article; zbMATH DE number 5220411

zbMath1152.91028MaRDI QIDQ5430704

Christian Bender, Tommi Sottinen, Esko Valkeila

Publication date: 16 December 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionarbitragefractional Black-Scholes modelmixed-fractional Black-Scholes model

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Self-similar stochastic processes (60G18)

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