On arbitrage and replication in the fractional Black–Scholes pricing model (Q4459750)

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scientific article; zbMATH DE number 2065091
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On arbitrage and replication in the fractional Black–Scholes pricing model
scientific article; zbMATH DE number 2065091

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    On arbitrage and replication in the fractional Black–Scholes pricing model (English)
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    18 May 2004
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    fractional Brownian motion
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    fractional Black-Scholes model
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    arbitrage
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    option pricing
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    replication
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    stochastic integration
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    pathwise stochastic integration
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    Malliavin calculus
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