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LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA - MaRDI portal

LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA (Q3149365)

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English
LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
scientific article

    Statements

    title
    LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA (English)
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    publication date
    5 August 2003
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    zbMATH Keywords
    option pricing
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    forward integral
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    absence of arbitrage
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    non-semimartingale models
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    long range dependence
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    author
    Martina Zähle
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H05
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    60G48
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    zbMATH DE Number
    1807494
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    OpenAlex ID
    W2005784517
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