On the mixed fractional Brownian motion
From MaRDI portal
Publication:937469
DOI10.1155/JAMSA/2006/32435zbMath1147.60313MaRDI QIDQ937469
Publication date: 15 August 2008
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54620
Related Items (42)
Pricing geometric Asian power options under mixed fractional Brownian motion environment ⋮ Regularization of differential equations by two fractional noises ⋮ Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ Valuation of bid and ask prices for European options under mixed fractional Brownian motion ⋮ A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend ⋮ Pricing geometric Asian rainbow options under the mixed fractional Brownian motion ⋮ Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Local and implied volatilities with the mixed-modified-fractional-Dupire model ⋮ Pricing currency options in the mixed fractional Brownian motion ⋮ Mixed fractional Heston model and the pricing of American options ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ Mixtures of higher-order fractional Brownian motions ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS ⋮ Fractional processes and their statistical inference: an overview ⋮ Parameter estimation in mixed fractional stochastic heat equation ⋮ On the sub-mixed fractional Brownian motion ⋮ Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps ⋮ Pricing currency option in a mixed fractional Brownian motion with jumps environment ⋮ Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Fractional Brownian motion with two-variable Hurst exponent ⋮ Unnamed Item ⋮ Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise ⋮ Maximum-likelihood estimators in the mixed fractional Brownian motion ⋮ Bond pricing under mixed generalized CIR model with mixed Wishart volatility process ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ SPDE with generalized drift and fractional-type noise ⋮ Generalized fractional Brownian motion ⋮ Fractional noise destroys or induces a stochastic bifurcation ⋮ Pricing european option under the time-changed mixed Brownian-fractional Brownian model ⋮ Selected topics in the generalized mixed set-indexed fractional Brownian motion ⋮ One-dimensional stochastic heat equation with discontinuous conductance ⋮ Default probability of American lookback option in a mixed jump-diffusion model ⋮ The fractional and mixed-fractional CEV model ⋮ Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations ⋮ The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting ⋮ Mixed fractional Brownian sheets and their applications ⋮ Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
Cites Work
This page was built for publication: On the mixed fractional Brownian motion
