Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory-Reference-Cited by-同舟云学术

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Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory

Published:2018 Issue: Volume: Page:335-361
ISSN:2194-1009
Container-title:Stochastic Processes and Applications
language:
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Author:

Boguslavskaya Elena,Mishura Yuliya,Shevchenko Georgiy

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-030-02825-1_14

Reference23 articles.

1. Androshchuk, T., Mishura, Y.: Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Stochastics 78(5), 281–300 (2006)

2. Bender, C., Sottinen, T., Valkeila, E.: Pricing by hedging and no-arbitrage beyond semimartingales. Financ. Stoch. 12(4), 441–468 (2008)

3. Bender, C., Sottinen, T., Valkeila, E.: Fractional processes as models in stochastic finance. In: Advanced Mathematical Methods for Finance, pp. 75–103. Springer, Heidelberg (2011)

4. Björk, T.: Arbitrage Theory in Continuous Time, 2nd edn. Oxford University Press, Oxford (2004)

5. Cheridito, P.: Mixed fractional Brownian motion. Bernoulli 7(6), 913–934 (2001)

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