Fractional constant elasticity of variance model (Q5326965)
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scientific article; zbMATH DE number 6193735
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| English | Fractional constant elasticity of variance model |
scientific article; zbMATH DE number 6193735 |
Statements
1 August 2013
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fractional Black-Scholes model
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fractional Brownian motion
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fractional constant elasticity of volatility model
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fractional Itô's lemma
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volatility skew
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white noise
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Wick calculus
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0.8294645547866821
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0.8264399766921997
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0.8203191161155701
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0.8145160675048828
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