Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221)
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scientific article; zbMATH DE number 5727612
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio |
scientific article; zbMATH DE number 5727612 |
Statements
Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (English)
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28 June 2010
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fractional stochastic differential equation
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fractional Brownian motion
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fractional Black-Scholes equation
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fractional Taylor's series
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fractional merton's portfolio
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0.8976386
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0.8960391
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0.89567554
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0.89292616
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0.89117104
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0.8907142
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0.88586867
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