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zbMath1168.60343MaRDI QIDQ3634474

Yanqing Xiao, Jie Zhong Zou

Publication date: 25 June 2009

Full work available at URL: http://pphmj.com/abstract/3751.htm

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

zbMATH Keywords

fractional Brownian motion exchange option numeraire quasi-martingale method

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

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