Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

DOI10.1016/j.insmatheco.2007.03.001zbMath1141.91455OpenAlexW1965277094MaRDI QIDQ939363

Guy Jumaric

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.03.001

zbMATH Keywords

fractional Brownian motionfractional stochastic differential equationfractional Gaussian noisesfractional Black-Scholes equationfractional exponential growthpath probability density

Mathematics Subject Classification ID

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