Pages that link to "Item:Q1424724"

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

Displaying 50 items.

• Strong asymptotic arbitrage in the large fractional binary market (Q253102) (← links)
• Mixed Gaussian processes: a filtering approach (Q317498) (← links)
• Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation (Q331295) (← links)
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
• Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
• Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
• Absence of arbitrage in a general framework (Q470679) (← links)
• Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
• Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
• On stochastic calculus related to financial assets without semimartingales (Q645948) (← links)
• The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
• Simple arbitrage (Q691114) (← links)
• On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) (← links)
• Binary market models with memory (Q871007) (← links)
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion (Q882907) (← links)
• Long memory affine term structure models (Q898585) (← links)
• Fractional Liu process with application to finance (Q970062) (← links)
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection (Q997294) (← links)
• No arbitrage without semimartingales (Q1024894) (← links)
• Pricing geometric Asian power options under mixed fractional Brownian motion environment (Q1619132) (← links)
• Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
• Arbitrage with fractional Gaussian processes (Q1620481) (← links)
• Pricing currency options in the mixed fractional Brownian motion (Q1673068) (← links)
• Mixed fractional Heston model and the pricing of American options (Q1675943) (← links)
• Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
• Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option (Q1721889) (← links)
• Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
• Bridge representation and modal-path approximation (Q1756961) (← links)
• On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
• Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model (Q1782839) (← links)
• No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
• Tolerance to arbitrage (Q1805785) (← links)
• Arbitrage and hedging in a non probabilistic framework (Q1938956) (← links)
• On pricing and hedging in financial markets with long-range dependence (Q1938961) (← links)
• On inference for fractional differential equations (Q1943988) (← links)
• Model-free CPPI (Q1994390) (← links)
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion (Q2005024) (← links)
• Mixed fractional Brownian motion: a spectral take (Q2011263) (← links)
• High-frequency trading with fractional Brownian motion (Q2022763) (← links)
• Properly discounted asset prices are semimartingales (Q2024115) (← links)
• Selected topics in the generalized mixed set-indexed fractional Brownian motion (Q2042040) (← links)
• Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure (Q2048833) (← links)
• Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
• The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options (Q2067976) (← links)
• Order pattern recurrence for the analysis of complex systems (Q2096776) (← links)