scientific article; zbMATH DE number 5592540

zbMath1195.91164MaRDI QIDQ5325329

Sergij V. Posashkov

Publication date: 8 August 2009

Full work available at URL: http://www.ams.org/tpms/2008-77-00/S0094-9000-09-00753-4/home.html

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

zbMATH Keywords

fractional Brownian motionpartial differential equationfinancial marketfair hedging price

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)

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