scientific article; zbMATH DE number 1462255

MaRDI QIDQ4486098zbMATH OpenFDO

Authors Shin-ichi Ohwaki, Koh-Ichi Matsuda

Publication date 5 February 2001

zbMATH Keywords

approximation of correlation coefficientsBlack-Scholes model of mathematical financeBrownian motion controlnormally scattered functions

Mathematics Subject Classification ID

Brownian motion (60J65)

Recommendations

• scientific article; zbMATH DE number 1300027
• Computing the covariance of two Brownian area integrals
• The probability distribution of the ratio of the absolute values of two normal variables
• The probability integral of the sample correlation coefficient
• Closed-form representations of the density function and integer moments of the sample correlation coefficient
• A simple generalization of the Box-Muller method for obtaining a pair of correlated standard normal variables
• An evaluation of the integral of the product of the error function and the normal probability density with application to the bivariate normal integral
• The correlation of the maxima of correlated Brownian motions

Cited in

(3)

• Yule's ``nonsense correlation solved!
• scientific article; zbMATH DE number 1300027 (Why is no real title available?)
• Computing the covariance of two Brownian area integrals

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4486098)