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zbMath1306.91139MaRDI QIDQ2939189

Huiting Jing, Litan Yan, Xichao Sun

Publication date: 16 January 2015

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

zbMATH Keywords

option pricing long-range dependence fair premium weighted fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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