Stochastic volatility models with volatility driven by fractional Brownian motions

DOI10.4310/CIS.2015.V15.N1.A4zbMath1403.91264MaRDI QIDQ268815

Tyrone E. Duncan, Jacek Jakubowski, Bozenna Pasik-Duncan

Publication date: 15 April 2016

Published in: Communications in Information and Systems (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstochastic volatilityfinancial models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

This page was built for publication: Stochastic volatility models with volatility driven by fractional Brownian motions