Financial modelling by multiscale fractional Brownian motion (Q3396056)
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scientific article; zbMATH DE number 5604260
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Financial modelling by multiscale fractional Brownian motion |
scientific article; zbMATH DE number 5604260 |
Statements
16 September 2009
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multiscale fractional Brownian motion
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European option
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long memory
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Novikov condition
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0.8151489496231079
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0.8132141828536987
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0.8125295639038086
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