Search Results - subject:"Fractional Brownian Motion"

Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903

Persistent link: https://www.econbiz.de/10012295586

Option pricing under multifractional Brownian motion in a risk neutral framework

Di Sciorio, Fabrizio; Mattiozzi, Silvia - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 3, pp. 273-283

Persistent link: https://www.econbiz.de/10012618054

The valuation of European option under subdiffusive fractional Brownian motion of the short rate

Shokrollahi, Foad - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10012284597

Volatility and variance swaps and options in the fractional SABR model

Kim, See-Woo; Kim, Jeong-Hoon - In: The European journal of finance 26 (2020) 17, pp. 1725-1745

Persistent link: https://www.econbiz.de/10012314649

Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

Bojdecki, Tomasz; Talarczyk, Anna - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2134-2154

We construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by …

Persistent link: https://www.econbiz.de/10010574710

Pricing European and Barrier Options in the Fractional Black-Scholes Market

Necula, Ciprian - Center for Advanced Research in Finance and Banking … - 2008

option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is …-Scholes market. We also obtain a reflection principle for the fractional Brownian motion. …

Persistent link: https://www.econbiz.de/10005036721

Wavelet energy ratio unit root tests

Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10012180698

Hurst exponents and delampertized fractional Brownian motions

Garcin, Matthieu - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-26

Persistent link: https://www.econbiz.de/10012153029

Pricing derivatives in hermite markets

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Mittnik, Stefan - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10012153100

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

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