Almost sure and moment stability properties of fractional order Black-Scholes model

DOI10.2478/s13540-013-0020-0zbMath1333.60132MaRDI QIDQ2347308

Caibin Zeng, Qi-Gui Yang, Yang Quan Chen

Publication date: 27 May 2015

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s13540-013-0020-0

zbMATH Keywords

fractional Brownian motion; stochastic stability; large deviations; Hurst parameter; fractional order Black-Scholes model

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E15: Stochastic stability in control theory

60F10: Large deviations

91G80: Financial applications of other theories

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• longmemo

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