arXiv2212.01591MaRDI QIDQ6419416
Thomas Wagenhofer, William Salkeld, Peter K. Friz
Publication date: 3 December 2022
Mathematics Subject Classification ID
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of rough analysis (60L90)