Option pricing in fractional Brownian markets
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Publication:1012830
DOI10.1007/978-3-642-00331-8zbMath1166.91300OpenAlexW636764665MaRDI QIDQ1012830
Publication date: 22 April 2009
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-00331-8
Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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