Gaussian moving averages, semimartingales and option pricing. (Q2574617)

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Gaussian moving averages, semimartingales and option pricing.
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    title
    Gaussian moving averages, semimartingales and option pricing. (English)
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    author
    Patrick Cheridito
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    publication date
    29 November 2005
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    Mathematics Subject Classification ID
    60G15
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    60G30
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    91G20
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    zbMATH DE Number
    2233809
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    zbMATH Keywords
    Gaussian processes
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    moving average representation
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    semimartingales
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    equivalent martingale measure
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