scientific article; zbMATH DE number 1867090

zbMath1036.91024MaRDI QIDQ4792524

Yaozhong Hu

Publication date: 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

traceLie algebrafractional Brownian motionsoption priceBlack-Scholes formulaEuropean option, determinant

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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No-arbitrage, leverage and completeness in a fractional volatility model

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