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zbMath1240.91162MaRDI QIDQ3109493

Wen-li Huang, Sheng-Hong Li

Publication date: 27 January 2012

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

zbMATH Keywords

fractional Brownian motion option pricing transaction costs fractional Leland equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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