Pages that link to "Item:Q4459750"

The following pages link to On arbitrage and replication in the fractional Black–Scholes pricing model (Q4459750):

Displaying 21 items.

• Pathwise integrals and Itô-Tanaka formula for Gaussian processes (Q300290) (← links)
• Fractional term structure models: No-arbitrage and consistency (Q835070) (← links)
• Arbitrage without borrowing or short selling? (Q1679553) (← links)
• Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
• On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
• Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
• CEV model equipped with the long-memory (Q2226287) (← links)
• Weak and strong discrete-time approximation of fractional SDEs (Q2257577) (← links)
• The fractional and mixed-fractional CEV model (Q2315921) (← links)
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
• A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus (Q3194571) (← links)
• THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE (Q3304211) (← links)
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320) (← links)
• (Q4583455) (← links)
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (Q4653043) (← links)
• APIK: Active Physics-Informed Kriging Model with Partial Differential Equations (Q5075236) (← links)
• Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs (Q5193257) (← links)
• PRICING DERIVATIVES IN HERMITE MARKETS (Q5242955) (← links)
• OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES (Q5306219) (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
• Moderate deviation principle for multiscale systems driven by fractional Brownian motion (Q6204785) (← links)