Pathwise Integrals and Itô–Tanaka Formula for Gaussian Processes

Author:

Sottinen Tommi,Viitasaari Lauri

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference16 articles.

1. Azmoodeh, E.: Riemann-Stieltjes Integrals with Respect to Fractional Brownian Motion and Applications. PhD Thesis. Helsinki University of Technology Institute of Mathematic s Research Reports A590 (2010)

2. Azmoodeh, E., Mishura, Y., Valkeila, E.: On hedging European options in geometric fractional Brownian motion market model. Stat. Decis. 27, 129–143 (2010)

3. Azmoodeh, E., Viitasaari, L.: Rate of convergence for discretization of integrals with respect to fractional Brownian motion. J. Theor. Probab. (2013). doi: 10.1007/s10959-013-0495-y

4. Bender, C., Sottinen, T., Valkeila, E.: Arbitrage with fractional Brownian motion? Theory Stoch. Process. 13(29), 23–27 (2007)

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

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