A note on the use of fractional Brownian motion for financial modeling
S. Rostek; R. Schöbel
| Year of publication: |
2013
|
|---|---|
| Authors: | Rostek, Stefan ; Schöbel, Rainer |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 30-35
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| Subject: | Fractional Brownian motion | Wick-Itô calculus | Fractional Stratonovich calculus | Dynamic incompleteness | Option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Arbitrage Pricing | Arbitrage pricing | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009702270