Hedging options in market models modulated by the fractional Brownian motion (Q2758167)
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scientific article; zbMATH DE number 1679481
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging options in market models modulated by the fractional Brownian motion |
scientific article; zbMATH DE number 1679481 |
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Hedging options in market models modulated by the fractional Brownian motion (English)
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6 December 2001
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fractional Brownian motion
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stochastic volatility
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stochastic calculus of variation
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