Fractional Liu process with application to finance
From MaRDI portal
Publication:970062
DOI10.1016/j.mcm.2009.08.031zbMath1185.60039MaRDI QIDQ970062
Publication date: 8 May 2010
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.031
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G22: Fractional processes, including fractional Brownian motion
91G20: Derivative securities (option pricing, hedging, etc.)
62M86: Inference from stochastic processes and fuzziness
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