Pages that link to "Item:Q2403735"
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The following pages link to Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications (Q2403735):
Displaying 10 items.
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221) (← links)
- Numerical simulation of fractional-order dynamical systems in noisy environments (Q1715699) (← links)
- Controlled singular evolution equations and Pontryagin type maximum principle with applications (Q2089097) (← links)
- Existence and stability results for multi-time scale stochastic fractional neural networks (Q2114067) (← links)
- On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach (Q2274620) (← links)
- Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations (Q2666258) (← links)
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (Q5025469) (← links)
- Computational scheme for solving nonlinear fractional stochastic differential equations with delay (Q5240640) (← links)
- A New Generalized Gronwall Inequality with a Double Singularity and Its Applications to Fractional Stochastic Differential Equations (Q5240649) (← links)
