Stochastic stability of fractional \((B,S)\)-securities markets

zbMATH Open0989.60074MaRDI QIDQ2784988

Anatoliy Swishchuk, Yuliya S. Mishura

Publication date: 24 April 2002

Published in: Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstochastic stabilityfinancial models

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset ⋮ Title not available (Why is that?) ⋮ Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion ⋮ Stabilization of jump values of stocks and bonds in the \((B,S)\)-market model ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

This page was built for publication: Stochastic stability of fractional \((B,S)\)-securities markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2784988)