MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION-Reference-Cited by-同舟云学术

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MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION

Published:2003 Issue:3 Volume:10 Page:347-362
ISSN:1073-2772
Container-title:Methods and Applications of Analysis
language:en
Short-container-title:

Author:

BIAGINI FRANCESCA,ØKSENDAL BERNT

Publisher

International Press of Boston

Subject

Pharmaceutical Science

Cited by 8 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. On the fractional stochastic integration for random non-smooth integrands;Stochastic Analysis and Applications;2022-02-02

2. Renormalization Group Method for Singular Perturbation System with Fractional Gaussian Noise;SSRN Electronic Journal;2022

3. Correlated Time-Changed Lévy Processes;SSRN Electronic Journal;2018

4. A Smooth Component of the Fractional Brownian Motion and Optimal Portfolio Selection;SSRN Electronic Journal;2015

5. Solutions to BSDEs driven by both standard and fractional Brownian motions;Acta Mathematicae Applicatae Sinica, English Series;2013-04

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