Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
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Publication:4607044
DOI10.1137/15M1036749zbMath1407.91290arXiv1509.01175MaRDI QIDQ4607044
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.01175
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Processes in random environments (60K37)
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