A geometric Brownian motion model with compound Poisson process and fractional stochastic volatility (Q4929899)
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scientific article; zbMATH DE number 5791348
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| English | A geometric Brownian motion model with compound Poisson process and fractional stochastic volatility |
scientific article; zbMATH DE number 5791348 |
Statements
24 September 2010
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Geometric Brownian motion
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compound Poisson process
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fractional stochastic volatility
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approximate models
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0.8090283274650574
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0.8015903830528259
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0.7938344478607178
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0.7877181768417358
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