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~subject:"Black-Scholes-Modell"
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Search: subject:"Fractional Brownian Motion"
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Black-Scholes-Modell
Fractional Brownian motion
123
Stochastischer Prozess
89
Stochastic process
86
fractional Brownian motion
81
Optionspreistheorie
46
Option pricing theory
45
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
19
Zeitreihenanalyse
19
Hurst exponent
16
Long memory
11
long memory
11
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10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
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Transaktionskosten
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Black-Scholes model
7
Estimation theory
7
Forecasting model
7
Gaussian process
7
Portfolio selection
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Portfolio-Management
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
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Derivat
5
Derivative
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Fractional Gaussian noise
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Multivariate stochastic volatility
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Sub-fractional Brownian motion
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fractional integration
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Björk, Tomas
1
Dufera, Tamirat Temesgen
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Fabozzi, Frank J.
1
Flint, Emlyn
1
Hult, Henrik
1
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1
Kılıçman, Adem
1
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1
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1
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1
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1
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1
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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
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:
3
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:
4
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:
5
Asymptotic theory of transaction costs
Schachermayer, Walter
-
2017
Persistent link: https://www.econbiz.de/10011763489
Saved in:
6
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
7
Pricing European options and currency options by time changed mixed
fractional
Brownian
motion
with transaction costs
Shokrollahi, Foad
;
Kılıçman, Adem
;
Magdziarz, Marcin
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011532750
Saved in:
8
A note on Wick products and the fractional Black-Scholes model
Björk, Tomas
;
Hult, Henrik
-
2005
driving Brownian motion is replaced by a
fractional
Brownian
motion
and that the Ito integral is replaced by the Wick integral …
Persistent link: https://www.econbiz.de/10010281205
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