European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process
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Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Self-similar stochastic processes (60G18)
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