//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Derivat"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Fractional Brownian Motion"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Derivat
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
Arbitrage
10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
Black-Scholes-Modell
8
Transaction costs
8
Transaktionskosten
8
Black-Scholes model
7
Estimation theory
7
Forecasting model
7
Gaussian process
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
6
Derivative
5
Fractional Gaussian noise
5
Multivariate stochastic volatility
5
Sub-fractional Brownian motion
5
fractional integration
5
more ...
less ...
Online availability
All
Undetermined
5
Type of publication
All
Article
5
Type of publication (narrower categories)
All
Article in journal
5
Aufsatz in Zeitschrift
5
Language
All
English
5
Author
All
Fabozzi, Frank J.
1
Funahashi, Hideharu
1
Gu, Wenjing
1
Hao, Ruili
1
Jacquier, Antoine
1
Kilianová, Soňa
1
Letko, Boris
1
Liu, Yinglin
1
Martini, Claude
1
Mittnik, Stefan
1
Muguruza, Aitor
1
Račev, Svetlozar T.
1
Stoyanov, Stoyan V.
1
more ...
less ...
Published in...
All
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Journal of mathematical finance
1
Quantitative finance
1
Risk and decision analysis
1
Source
All
ECONIS (ZBW)
5
Showing
1
-
5
of
5
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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
Saved in:
2
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:
3
On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
Saved in:
4
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
Saved in:
5
Attenuated model of pricing credit default swap under the
fractional
Brownian
motion
environment
Gu, Wenjing
;
Liu, Yinglin
;
Hao, Ruili
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->