Wick–Itô formula for regular processes and applications to the Black and Scholes formula (Q3541205)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wick–Itô formula for regular processes and applications to the Black and Scholes formula |
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Statements
Wick–Itô formula for regular processes and applications to the Black and Scholes formula (English)
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25 November 2008
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fractional Brownian motion
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Malliavin calculus
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Wiener chaos expansion
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Itô formula
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option pricing
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