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scientific article; zbMATH DE number 1897419

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Publication:4802414
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zbMath1113.91322MaRDI QIDQ4802414

Esko Valkeila, Yuliya S. Mishura

Publication date: 27 April 2003


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

zbMATH Keywords

fractional Brownian motionarbitrage-free marketBlack-Merton-Scholes model


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (8)

Pricing geometric Asian rainbow options under the mixed fractional Brownian motion ⋮ OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS ⋮ CEV model equipped with the long-memory ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Option pricing of a mixed fractional-fractional version of the Black-Scholes model ⋮ Pricing european option under the time-changed mixed Brownian-fractional Brownian model ⋮ The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion ⋮ Pricing compound and extendible options under mixed fractional Brownian motion with jumps




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