Towards a better understanding of fractional Brownian motion and its application to finance

DOI10.1007/s40840-023-01546-7zbMath1515.60102OpenAlexW4382939522MaRDI QIDQ6164067

Xiao Song, Yuanying Zhuang

Publication date: 26 July 2023

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-023-01546-7

zbMATH Keywords

fractional Brownian motionWick productBlack-Scholes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Portfolio theory (91G10)

Cites Work

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