scientific article; zbMATH DE number 6402126

DOI10.3969/J.ISSN.1000-5641.2014.03.003zbMath1313.91200MaRDI QIDQ5498180

Lin Xu, Ting Xu

Publication date: 11 February 2015

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

zbMATH Keywords

fractional Brownian motionlong-range dependenceHurst exponentlog-return rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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