Multivariate fractional Brownian motion and generalizations of SABR model (Q6599182)
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scientific article; zbMATH DE number 7907634
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| English | Multivariate fractional Brownian motion and generalizations of SABR model |
scientific article; zbMATH DE number 7907634 |
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Multivariate fractional Brownian motion and generalizations of SABR model (English)
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6 September 2024
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multivariate self-similarity
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fractional Brownian motion
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fractional SABR model
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0.7802351117134094
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0.7794867753982544
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0.7751355171203613
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0.7642115950584412
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0.7600845098495483
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