Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
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Publication:5704206
DOI10.1287/moor.1040.0096zbMath1082.91045MaRDI QIDQ5704206
Robert J. Elliott, Christian Bender
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1040.0096
60G15: Gaussian processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
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