Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio |
scientific article; zbMATH DE number 5727612
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio |
scientific article; zbMATH DE number 5727612 |
Statements
Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (English)
0 references
28 June 2010
0 references
fractional stochastic differential equation
0 references
fractional Brownian motion
0 references
fractional Black-Scholes equation
0 references
fractional Taylor's series
0 references
fractional merton's portfolio
0 references
0 references
0 references
0 references
0 references
0.8976386
0 references
0.8960391
0 references
0.89567554
0 references
0.89292616
0 references
0.89117104
0 references
0.8907142
0 references
0.8873707
0 references
0.88586867
0 references
