On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model (Q4925737)
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scientific article; zbMATH DE number 6174804
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| English | On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model |
scientific article; zbMATH DE number 6174804 |
Statements
12 June 2013
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Wick calculus
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discrete and continuous time
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fractional Brownian motion
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fractional Black-Scholes model
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0.7912505269050598
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0.7758252024650574
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0.7692862153053284
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0.7684113383293152
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0.7677935361862183
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