Optimal portfolio in a fractional Black-Scholes model with arbitrary Hurst parameter (Q5320558)
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scientific article; zbMATH DE number 5584909
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| English | Optimal portfolio in a fractional Black-Scholes model with arbitrary Hurst parameter |
scientific article; zbMATH DE number 5584909 |
Statements
22 July 2009
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fractional Brownian motion
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Black-Scholes model
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optimal portfolio
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0.910292148590088
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0.9094842672348022
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0.908779501914978
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0.8962124586105347
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0.8836749792098999
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