Pages that link to "Item:Q2488475"

The following pages link to A note on Wick products and the fractional Black-Scholes model (Q2488475):

Displaying 31 items.

• Solving SPDEs driven by colored noise: A chaos approach (Q3533903) (← links)
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model (Q3633141) (← links)
• Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals (Q3645196) (← 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)
• Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (Q4622807) (← links)
• (Q5019097) (← links)
• A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option (Q5080093) (← links)
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
• Numerical solutions of Black-Scholes integro-differential equations with convergence analysis (Q5229826) (← links)
• PRICING DERIVATIVES IN HERMITE MARKETS (Q5242955) (← links)
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706) (← links)
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (Q5455263) (← links)
• Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
• On the fractional stochastic integration for random non-smooth integrands (Q6046005) (← links)
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment (Q6051343) (← links)
• AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS (Q6051961) (← links)
• In memoriam: Tomas Björk (1947--2021). On his career and beyond (Q6074004) (← links)
• Mixtures of higher-order fractional Brownian motions (Q6107607) (← links)
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (Q6131370) (← links)
• Fractional processes and their statistical inference: an overview (Q6149600) (← links)
• Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes (Q6157966) (← links)
• A generalized stochastic process: fractional \(G\)-Brownian motion (Q6164852) (← links)
• Option pricing under time interval driven model (Q6171877) (← links)
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment (Q6534717) (← links)
• Solving the general form of the fractional Black-Scholes with two assets through reconstruction variational iteration method (Q6568874) (← links)
• A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model (Q6590574) (← links)
• On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)