Results 31 to 40 of about 905 (62)

A financial market with singular drift and no arbitrage. [PDF]

open access: yesMath Financ Econ, 2021
Agram N, Øksendal B.
europepmc   +1 more source

On a method of introducing free-infinitely divisible probability measures

open access: yes, 2014
Random integral mappings $I^{h,r}_{(a,b]}$ give isomorphisms between the sub-semigroups of the classical $(ID, \ast)$ and the free-infinite divisible $(ID,\boxplus)$ probability measures.
Jurek, Zbigniew J.
core  

A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]

open access: yes
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core  

Power variation of multiple fractional integrals

open access: yesOpen Mathematics, 2007
Tudor Constantin, Tudor Maria
doaj   +1 more source

Home - About - Disclaimer - Privacy