scientific article; zbMATH DE number 6129000
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Publication:4900475
zbMath1265.91156MaRDI QIDQ4900475
Wen-li Huang, Sheng-Hong Li, Xiang Xing Tao
Publication date: 24 January 2013
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Pricing credit derivatives under fractional stochastic interest rate models with jumps ⋮ The pricing of vulnerable options in a fractional Brownian motion environment ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion
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