Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model
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Cites work
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- scientific article; zbMATH DE number 1069618 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- A simple and unified approach to identify integrable nonlinear oscillators and systems
- Calculus of variations with fractional derivatives and fractional integrals
- Extending Bauer's corollary to fractional derivatives
- Fractional Euler-Lagrange equations revisited
- Fractional actionlike variational problems
- Fractional calculus. An introduction for physicists
- Fractional complexified field theory from Saxena-Kumbhat fractional integral, fractional derivative of order (\(\alpha, \beta\)) and dynamical fractional integral exponent
- Fractional oscillators from non-standard Lagrangians and time-dependent fractional exponent
- Fractional variational problems from extended exponentially fractional integral
- General conditions for the existence of non-standard Lagrangians for dissipative dynamical systems
- Generalized natural boundary conditions for fractional variational problems in terms of the Caputo derivative
- Generalized variational calculus in terms of multi-parameters fractional derivatives
- Introduction to the fractional calculus of variations
- Lagrangian formalism for nonlinear second-order Riccati systems: One-dimensional integrability and two-dimensional superintegrability
- Necessary optimality conditions for fractional action‐like integrals of variational calculus with Riemann–Liouville derivatives of order (α, β)
- Non-linear dynamics with non-standard Lagrangians
- Non-standard fractional Lagrangians
- Nonconservative Lagrangian mechanics: a generalized function approach
- Nonstandard Lagrangian tori and pseudotoric structures
- Optimal importance sampling with explicit formulas in continuous time
- Reiterated homogenization of non-standard Lagrangians
- Standard and non-standard Lagrangians for dissipative dynamical systems with variable coefficients
- Stochastic calculus for finance. II: Continuous-time models.
- The Hamilton formalism with fractional derivatives
- The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
- Variational formulations of differential equations and asymmetric fractional embedding
Cited in
(10)- String propagation in space without time through an association between damping and maximal acceleration
- Fractional Tikhonov regularization method in Hilbert scales
- Time fractional Kupershmidt equation: symmetry analysis and explicit series solution with convergence analysis
- Invariance analysis and some new exact analytic solutions of the time-fractional coupled Drinfeld-Sokolov-Wilson equations
- Nonlinear wave equation in an inhomogeneous medium from non-standard singular Lagrangians functional with two occurrences of integrals
- Saigo-Maeda operators involving the Appell function, real spectra from symmetric quantum Hamiltonians and violation of the second law of thermodynamics for quantum damped oscillators
- Lie symmetry analysis and exact solution of certain fractional ordinary differential equations
- Space-time fractional nonlinear partial differential equations: symmetry analysis and conservation laws
- Two occurrences of fractional actions in nonlinear dynamics
- Noether symmetries for fractional generalized Birkhoffian systems in terms of classical and combined Caputo derivatives
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