Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters

DOI10.1155/2014/791418zbMath1298.91154OpenAlexW2125371442WikidataQ59048532 ScholiaQ59048532MaRDI QIDQ469958

Tidarut Areerak

Publication date: 11 November 2014

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/791418

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Fractal Langevin equation
• An approximate approach to fractional analysis for finance
• Fractional Brownian Motions, Fractional Noises and Applications
• Tools for computational finance

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