On arbitrage and replication in the fractional Black–Scholes pricing model (Q4459750)
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scientific article; zbMATH DE number 2065091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On arbitrage and replication in the fractional Black–Scholes pricing model |
scientific article; zbMATH DE number 2065091 |
Statements
On arbitrage and replication in the fractional Black–Scholes pricing model (English)
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18 May 2004
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fractional Brownian motion
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fractional Black-Scholes model
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arbitrage
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option pricing
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replication
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stochastic integration
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pathwise stochastic integration
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Malliavin calculus
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