Search Results - subject:"Fractional Brownian Motion"

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

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

Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model

Mišura, Julija S.; Yurchenko-Tytarenko, Anton - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-36

Persistent link: https://www.econbiz.de/10012496732

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

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

Wavelet energy ratio unit root tests

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

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

A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter

Rodríguez-Aguilar, Román; Cruz-Aké, Salvador; … - Volkswirtschaftliche Fakultät, … - 2014

The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously, it is said that the series is driven by white noise. This paper is aimed at...

Persistent link: https://www.econbiz.de/10011110850