Pages that link to "Item:Q817295"
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The following pages link to Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295):
Displaying 11 items.
- Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms (Q844260) (← links)
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function (Q874339) (← links)
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (Q939363) (← links)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221) (← links)
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation (Q2007174) (← links)
- Fractional Lévy stable motion: finite difference iterative forecasting model (Q2120387) (← links)
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics (Q2131687) (← links)
- A robust numerical solution to a time-fractional Black-Scholes equation (Q2166825) (← links)
- Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications (Q2403735) (← links)
- Optimal control problem with an integral equation as the control object (Q2653948) (← links)
- Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
