Pages that link to "Item:Q2488475"
From MaRDI portal
The following pages link to A note on Wick products and the fractional Black-Scholes model (Q2488475):
Displayed 50 items.
- The velocity tracking problem for Wick-stochastic Navier-Stokes flows using Weiner chaos expansion (Q298191) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (Q424708) (← links)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- On stochastic calculus related to financial assets without semimartingales (Q645948) (← links)
- On the semimartingale property via bounded logarithmic utility (Q665818) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Fractional term structure models: No-arbitrage and consistency (Q835070) (← links)
- Geometric arbitrage theory and market dynamics (Q888763) (← links)
- Pricing geometric Asian power options under mixed fractional Brownian motion environment (Q1619132) (← links)
- Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (Q1634384) (← links)
- Pricing currency options in the mixed fractional Brownian motion (Q1673068) (← links)
- Arbitrage without borrowing or short selling? (Q1679553) (← links)
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market (Q1681657) (← links)
- Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
- Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option (Q1721889) (← links)
- Valuation of the vulnerable option price based on mixed fractional Brownian motion (Q1727085) (← links)
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Editorial: Introduction to quantum probability theory and its economic applications (Q1800977) (← links)
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment (Q1992912) (← links)
- Solution of the fractional Black-Scholes option pricing model by finite difference method (Q2015204) (← links)
- A compact finite difference scheme for fractional Black-Scholes option pricing model (Q2029151) (← links)
- On the solution of two-dimensional fractional Black-Scholes equation for European put option (Q2058204) (← links)
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps (Q2063466) (← links)
- Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
- Fractional randomness and the Brownian bridge (Q2149284) (← links)
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model (Q2161063) (← links)
- Parameter identification for mixed fractional Brownian motions with the drift parameter (Q2164277) (← links)
- Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804) (← links)
- Pricing of perpetual American put option with sub-mixed fractional Brownian motion (Q2175773) (← links)
- A weighted finite difference method for subdiffusive Black-Scholes model (Q2194785) (← links)
- Group classification for a class of non-linear models of the RAPM type (Q2211989) (← links)
- CEV model equipped with the long-memory (Q2226287) (← links)
- Pricing compound and extendible options under mixed fractional Brownian motion with jumps (Q2306304) (← links)
- The fractional and mixed-fractional CEV model (Q2315921) (← links)
- A pricing option approach based on backward stochastic differential equation theory (Q2321651) (← links)
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market (Q2326366) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- The use of action functionals within the quantum-like paradigm (Q2409685) (← links)
- Jump telegraph processes and financial markets with memory (Q2478418) (← links)
- Testing stationarity of the detrended price return in stock markets (Q2668268) (← links)
- From Market Data to Agent-Based Models and Stochastic Differential Equations (Q2832858) (← links)
- White noise-based stochastic calculus with respect to multifractional Brownian motion (Q2875258) (← links)
- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320) (← links)
- On financial markets based on telegraph processes (Q3498586) (← links)
- Solving SPDEs driven by colored noise: A chaos approach (Q3533903) (← links)