Multivariate fractional Brownian motion and generalizations of SABR model

DOI10.1142/9789811259142_0006zbMATH Open1546.91251MaRDI QIDQ6599182FDOQ6599182

M. Musiela

Publication date: 6 September 2024

zbMATH Keywords

fractional Brownian motionmultivariate self-similarityfractional SABR model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22)

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