A fractional calculus interpretation of the fractional volatility model

DOI10.1007/s11071-008-9372-0zbMath1187.91231OpenAlexW2132415300MaRDI QIDQ840298

R. Vilela Mendes

Publication date: 11 September 2009

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-008-9372-0

zbMATH Keywords

fractional calculusstochastic modelsdynamics of markets

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Self-similar stochastic processes (60G18)

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