On stocks and interest rates modeling in long-range dependent environment

DOI10.3233/RDA-140109zbMath1409.91255OpenAlexW1607656666MaRDI QIDQ3119639

Yuliya S. Mishura, Alexander V. Melnikov

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-140109

zbMATH Keywords

Wiener processfractional Brownian motionoption pricinglong-range dependencestochastic interest ratecomplete marketpathwise integrationequivalent probability measurearbitrage-free marketItô integration

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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