FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET

DOI10.1142/S0219024917500546zbMath1395.91464arXiv1612.02112OpenAlexW2560841106MaRDI QIDQ4602497

Frank J. Fabozzi, Stoyan V. Stoyanov, Svetlozar T. Rachev

Publication date: 11 January 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.02112

zbMATH Keywords

fractional Brownian motionBlack-Scholes modeljump-diffusion modelstochastic volatility modelriskless asset

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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