scientific article; zbMATH DE number 6174804

zbMath1285.60048MaRDI QIDQ4925737

Christian Bender, Peter Parczewski

Publication date: 12 June 2013

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

zbMATH Keywords

fractional Brownian motionWick calculusdiscrete and continuous timefractional Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items

Malliavin calculus in a binomial framework, On discrete time hedging errors in a fractional Black-Scholes model, Unnamed Item