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zbMath1349.91296MaRDI QIDQ2991282

Publication date: 10 August 2016

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

zbMATH Keywords

fractional Brownian motion quasi-martingale credit guarantee pricing option

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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