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Perpetual American options with fractional Brownian motion - MaRDI portal

Perpetual American options with fractional Brownian motion (Q4610216)

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scientific article; zbMATH DE number 7002112
Language Label Description Also known as
English
Perpetual American options with fractional Brownian motion
scientific article; zbMATH DE number 7002112

    Statements

    title
    Perpetual American options with fractional Brownian motion (English)
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    author
    Robert J. Elliott
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    Leunglung Chan
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    publication date
    15 January 2019
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    60G22
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    zbMATH DE Number
    7002112
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    zbMATH Keywords
    perpetual American option
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    fractional Brownian motion
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    OpenAlex ID
    W4231571193
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    Wikidata QID
    Q126242771
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