scientific article
zbMath1185.91181MaRDI QIDQ3407385
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Publication date: 4 March 2010
Full work available at URL: http://pphmj.com/abstract/4580.htm
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fractional Brownian motionOrnstein-Uhlenbeck processEuropean call optionfractional Itô-integralstochastic differential equation, Black-Scholes equation
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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