On stocks and interest rates modeling in long-range dependent environment
Alexander Melnikov; Yuliya Mishura
| Year of publication: |
2014
|
|---|---|
| Authors: | Melnikov, Alexander ; Mišura, Julija S. |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 5.2014, 4, p. 177-187
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| Subject: | Long-range dependence | Wiener process | fractional Brownian motion | stochastic interest rate | equivalent probability measure | pathwise integration | Itô integration | arbitrage-free market | complete market | option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Zeitreihenanalyse | Time series analysis | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing | Volatilität | Volatility |
| 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://www.econbiz.de/10011286251