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Search: subject:"Fractional Brownian Motion"
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Option pricing theory
Fractional Brownian motion
123
Stochastischer Prozess
89
Stochastic process
86
fractional Brownian motion
81
Optionspreistheorie
46
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
19
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19
Hurst exponent
16
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11
long memory
11
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10
Option pricing
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Fractional Brownian Motion
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Malliavin calculus
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option pricing
6
stochastic volatility
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Derivat
5
Derivative
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Fractional Gaussian noise
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fractional integration
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Mišura, Julija S.
3
Rosenbaum, Mathieu
3
Rostek, Stefan
3
Shokrollahi, Foad
3
Fabozzi, Frank J.
2
Funahashi, Hideharu
2
Gatheral, Jim
2
Jaisson, Thibault
2
Melnikov, Alexander
2
Račev, Svetlozar T.
2
Stoyanov, Stoyan V.
2
Akahori, Jiro
1
Alfeus, Mesias
1
Cheng, Panhong
1
Corlay, Sylvain
1
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1
Dai, Zexing
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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International journal of theoretical and applied finance
4
Quantitative finance
4
Computational economics
3
International journal of financial engineering
3
Journal of mathematical finance
3
Annals of finance
2
Finance and stochastics
2
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
2
Risk and decision analysis
2
Risks : open access journal
2
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1
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1
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1
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1
Journal of financial engineering
1
Lecture notes in economics and mathematical systems : LNEMS
1
Mathematical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
1
South African journal of economic and management sciences
1
SpringerLink / Bücher
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The North American journal of economics and finance : a journal of theory and practice
1
The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore
1
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ECONIS (ZBW)
45
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1
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by
fractional
Brownian
motion
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2023
-
This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
Saved in:
2
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
3
Probability density of lognormal fractional SABR model
Akahori, Jiro
;
Song, Xiaoming
;
Wang, Tai-Ho
- In:
Risks : open access journal
10
(
2022
)
8
,
pp. 1-27
of a correlated
fractional
Brownian
motion
. Due to the mixed nature of driving Brownian and fractional Brownian motions …
Persistent link: https://www.econbiz.de/10013368253
Saved in:
4
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:
5
Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility
Wang, Ke
;
Guo, Xunxiang
- In:
Computational economics
63
(
2024
)
4
,
pp. 1543-1573
Persistent link: https://www.econbiz.de/10014549124
Saved in:
6
Implied roughness in the term structure of oil market volatility
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
Saved in:
7
Buy rough, sell smooth
Glasserman, Paul
;
He, Pu
- In:
Options - 45 years since the publication of the …
,
(pp. 89-125)
.
2023
Persistent link: https://www.econbiz.de/10014366595
Saved in:
8
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
9
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
10
Valuation of vulnerable options with stochastic corporate liabilities in a mixed
fractional
Brownian
motion
environment
Cheng, Panhong
;
Xu, Zhihong
;
Dai, Zexing
- In:
Mathematics and financial economics
17
(
2023
)
3
,
pp. 429-455
Persistent link: https://www.econbiz.de/10014381043
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