Pages that link to "Item:Q1424724"

The following pages link to Arbitrage in fractional Brownian motion models (Q1424724):

Displaying 50 items.

• Testing of fractional Brownian motion in a noisy environment (Q2123579) (← links)
• ELS pricing and hedging in a fractional Brownian motion environment (Q2128261) (← links)
• European option pricing problems with fractional uncertain processes (Q2129466) (← links)
• Valuation of bid and ask prices for European options under mixed fractional Brownian motion (Q2130778) (← links)
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend (Q2137743) (← links)
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665) (← links)
• Fractional randomness and the Brownian bridge (Q2149284) (← links)
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (Q2150007) (← links)
• Euler scheme for fractional delay stochastic differential equations by rough paths techniques (Q2153083) (← links)
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (Q2157559) (← links)
• Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model (Q2161063) (← links)
• Local and implied volatilities with the mixed-modified-fractional-Dupire model (Q2169607) (← links)
• Pricing of perpetual American put option with sub-mixed fractional Brownian motion (Q2175773) (← links)
• Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
• Pricing by hedging and no-arbitrage beyond semimartingales (Q2271717) (← links)
• No arbitrage and lead-lag relationships (Q2273697) (← links)
• A Feynman-Kac result via Markov BSDEs with generalised drivers (Q2278678) (← links)
• Pricing compound and extendible options under mixed fractional Brownian motion with jumps (Q2306304) (← links)
• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (Q2309261) (← links)
• The fractional and mixed-fractional CEV model (Q2315921) (← links)
• Existence and uniqueness of solutions for a fractional order antiperiodic boundary value problem with a \(p\)-Laplacian operator (Q2319065) (← links)
• Testing long memory based on a discretely observed process (Q2362937) (← links)
• Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
• Arbitrage in skew Brownian motion models (Q2427806) (← links)
• Correcting Newton-Côtes integrals by Lévy areas (Q2469648) (← links)
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance (Q2485795) (← links)
• Gaussian moving averages, semimartingales and option pricing. (Q2574617) (← links)
• A closed-form approximation for the fractional Black-Scholes model with transaction costs (Q2629413) (← links)
• Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130) (← links)
• Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion (Q2755274) (← links)
• From Market Data to Agent-Based Models and Stochastic Differential Equations (Q2832858) (← links)
• CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS (Q2947342) (← links)
• Remarks on simple arbitrage on markets with bid and ask prices (Q2985927) (← links)
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion (Q3082335) (← links)
• (Q3120504) (← links)
• THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE (Q3304211) (← links)
• Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory (Q3466884) (← links)
• The absence of arbitrage in a model with fractal Brownian motion (Q4509533) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
• (Q4583455) (← links)
• Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process (Q4618064) (← links)
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (Q4622807) (← links)
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (Q4653043) (← links)
• Trading Fractional Brownian Motion (Q4971980) (← links)
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets (Q5042125) (← links)
• A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
• A Brief Introduction to DFA-Based Multiscale Analysis (Q5054204) (← links)
• Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750) (← links)