Results 31 to 40 of about 11,121 (220)
Integral representations of some functionals of fractional Brownian motion [PDF]
, 2011 We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones.
Tikanmäki, Heikki
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Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Journal of Applied Mathematics, 2013 Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian ...
Di Pan +3 more
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Unravelling intermittent features in single particle trajectories by a local convex hull method [PDF]
, 2017 We propose a new model-free method to detect change points between distinct phases in a single random trajectory of an intermittent stochastic process. The local convex hull (LCH) is constructed for each trajectory point, while its geometric properties ...
Grebenkov, D. S., Lanoiselée, Y.
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Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Journal of Applied Mathematics, 2014 The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option’s value is presented on the basis of no-arbitrage principle and fractional formula.
Yan Zhang +3 more
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Pitman estimators: An asymptotic variance revisited [PDF]
, 2012 We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identically distributed observations ...
Kordzakhia, N, Novikov, A
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Donsker-type theorems for correlated geometric fractional Brownian motions and related processes [PDF]
Electronic Communications in Probability, 2017 We prove a Donsker-type theorem for vector processes of functionals of correlated Wiener integrals. This includes the case of correlated geometric fractional Brownian motions of arbitrary Hurst parameters in $(0,1)$ driven by the same Brownian motion.
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Advances in Continuous and Discrete Models, 2022 AbstractIt is widely accepted that financial data exhibit a long-memory property or a long-range dependence. In a continuous-time situation, the geometric fractional Brownian motion is an important model to characterize the long-memory property in finance.
Lin Sun, Jianxin Chen, Xianggang Lu
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On fractional smoothness and $L_p$-approximation on the Gaussian space [PDF]
, 2014 We consider Gaussian Besov spaces obtained by real interpolation and Riemann-Liouville operators of fractional integration on the Gaussian space and relate the fractional smoothness of a functional to the regularity of its heat extension. The results are
Geiss, Stefan, Toivola, Anni
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Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy
Discrete Dynamics in Nature and Society, 2019 Proactive hedging European option is an exotic option for hedgers in the options market proposed recently by Wang et al. It extends the classical European option by requiring option holders to continuously trade in underlying assets according to a ...
Meng Li, Xuefeng Wang, Fangfang Sun
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Application of the Fractal Brownian Motion to the Athens Stock Exchange
Fractal and FractionalThe Athens Stock Exchange (ASE) is a dynamic financial market with complex interactions and inherent volatility. Traditional models often fall short in capturing the intricate dependencies and long memory effects observed in real-world financial data. In
John Leventides +5 more
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