scientific article; zbMATH DE number 2171403

MaRDI QIDQ4678970zbMATH OpenFDO

Authors Tran Hung Thao, Christine Thomas-Agnan

Publication date 24 May 2005

zbMATH Keywords

Black-Scholes modelfractional process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• An approximate approach to fractional analysis for finance
• An approximate approach to fractional stochastic integration and its applications
• Semimartingale approximation of fractional Brownian motion and its applications

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