On pricing and hedging in financial markets with long-range dependence
DOI10.1007/s11579-011-0048-zzbMath1273.91443OpenAlexW2051149695MaRDI QIDQ1938961
Yuliya S. Mishura, Alexander V. Melnikov
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-011-0048-z
fractional Brownian motionBrownian motionefficient hedgingfinancial marketminimal martingale measure
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (1)
Cites Work
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