Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio |
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Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (English)
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28 June 2010
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fractional stochastic differential equation
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fractional Brownian motion
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fractional Black-Scholes equation
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fractional Taylor's series
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fractional merton's portfolio
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