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Publication:3396056
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zbMath1186.91206MaRDI QIDQ3396056

Pierre R. Bertrand

Publication date: 16 September 2009


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

zbMATH Keywords

long memoryEuropean optionNovikov conditionmultiscale fractional Brownian motion


Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)








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