On stocks and interest rates modeling in long-range dependent environment
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Publication:3119639
DOI10.3233/RDA-140109zbMath1409.91255MaRDI QIDQ3119639
Yuliya S. Mishura, Alexander V. Melnikov
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-140109
Wiener process; fractional Brownian motion; option pricing; long-range dependence; stochastic interest rate; complete market; pathwise integration; equivalent probability measure; arbitrage-free market; Itô integration
60G22: Fractional processes, including fractional Brownian motion
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)