The sub-fractional CEV model
Author:
Funder
Ministerstvo školství mládeže a tělovýchovy České republiky
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference32 articles.
1. Limit theorems for occupation time fluctuations of branching systems I: long-range dependence;Bojdecki;Stochastic Process. Appl.,2006
2. Particle systems with quasi-homogeneous initial states and their occupation time fluctuations;Bojdecki;Electron. Commun. Probab.,2010
3. A series expansion of fractional Brownian motion;Dzhaparidze;Probab. Theory Related Fields,2004
4. Sub-fractional Brownian motion and its relation to occupation times;Bojdecki;Statist. Probab. Lett.,2004
5. Fractional Brownian motions, fractional noises and applications;Mandelbrot;SIAM Rev.,1968
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. A multifractional option pricing formula;Fluctuation and Noise Letters;2024-07-30
2. Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach;Discrete and Continuous Dynamical Systems - S;2024
3. Pricing geometric average Asian options in the mixed sub-fractional Brownian motion environment with Vasicek interest rate model;AIMS Mathematics;2024
4. European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time;Fractal and Fractional;2023-12-22
5. Option pricing under sub-mixed fractional Brownian motion based on time-varying implied volatility using intelligent algorithms;Soft Computing;2023-06-24
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3