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zbMath1199.91227MaRDI QIDQ3640284

Yanqing Xiao, Jie Zhong Zou

Publication date: 11 November 2009

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

zbMATH Keywords

fractional Brownian motion option numeraire quasi-martingale method

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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