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Publication:2741102
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zbMath0996.91056MaRDI QIDQ2741102

John van der Hoek, Robert J. Elliott

Publication date: 26 October 2002


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionBlack-Scholes formula


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (5)

Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs ⋮ Perpetual American options with fractional Brownian motion ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.




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