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~subject:"Black-Scholes-Modell"
~subject:"Long memory"
~subject:"Option pricing"
~subject:"Portfolio selection"
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Black-Scholes-Modell
Long memory
Option pricing
Portfolio selection
Fractional Brownian motion
120
Stochastischer Prozess
85
Stochastic process
82
fractional Brownian motion
81
Optionspreistheorie
44
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43
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38
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Asai, Manabu
5
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
17
RePEc
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EconStor
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1
Fractional
Brownian
motion
in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Saved in:
2
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
3
On RVaR-based optimal partial hedging
Melnikov, Alexander
;
Wan, Hongxi
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 349-366
Persistent link: https://www.econbiz.de/10013342143
Saved in:
4
High-frequency trading with
fractional
Brownian
motion
Guasoni, Paolo
;
Mišura, Julija S.
;
Rásonyi, Miklós
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 277-310
Persistent link: https://www.econbiz.de/10012499687
Saved in:
5
Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn
;
Maré, E.
- In:
South African journal of economic and management sciences
20
(
2017
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011773296
Saved in:
6
An outperforming investment strategy under
fractional
Brownian
motion
Liu, Qiang
;
Xiang, Yun
;
Zhao, Yonghong
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 505-515
Persistent link: https://www.econbiz.de/10012120123
Saved in:
7
Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid
;
Najafi, Ali Reza
- In:
Computational economics
52
(
2018
)
2
,
pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
Saved in:
8
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
9
An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa
;
Letko, Boris
- In:
Risk and decision analysis
7
(
2018
)
1/2
,
pp. 51-62
Persistent link: https://www.econbiz.de/10011945645
Saved in:
10
Shadow prices,
fractional
Brownian
motion
, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
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