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Stochastic Volatility and Multifractional Brownian Motion - MaRDI portal

Stochastic Volatility and Multifractional Brownian Motion (Q2914791)

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Stochastic Volatility and Multifractional Brownian Motion
scientific article

    Statements

    title
    Stochastic Volatility and Multifractional Brownian Motion (English)
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    author
    Antoine Ayache
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    Qidi Peng
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    publication date
    21 September 2012
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    cites work
    Q4495241
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    Q2778406
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    Q3149666
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    Q4367302
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    Tolerance to arbitrage
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    Q4301585
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    60G22
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    91G20
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    60J65
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    62P05
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    zbMATH DE Number
    6084622
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    OpenAlex ID
    W2217401567
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