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On the sub-mixed fractional Brownian motion
9 references·0 citing·33 second hop
On the sub-mixed fractional Brownian motion (2015)On the sub-mixed fractional Brownian moti…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Some properties of the sub-fractional Brownian motion (2006)Some properties of the sub-fr…On the mixed fractional Brownian motion (2006)On the mixed fractional Brown…The fractional mixed fractional Brownian motion (2003)The fractional mixed fraction…Equivalence of Volterra processes (2003)Equivalence of Volterra proce…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Fractional Brownian Motions, Fractional Noises and Applications (1968)Integration with respect to fractal functions and stochastic calculus. I (1998)On the Wiener integral with respect to a sub-fractional Brownian motion on an interval (2008)On the collision local time of sub-fractional Brownian motions (2009)Parametric estimation for sub-fractional Ornstein–Uhlenbeck process (2012)The Pricing of Options and Corporate Liabilities (1973)Arbitrage in fractional Brownian motion models (2003)On bifractional Brownian motion (2005)Stochastic Integration and Differential Equations (2005)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Representation Formulae for the Fractional Brownian Motion (2010)When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method (2014)Mixed Gaussian processes: A filtering approach (2016)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equations (2003)Pricing currency options in the mixed fractional Brownian motion (2013)Pricing geometric Asian power options under mixed fractional Brownian motion environment (2015)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm (2012)Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment (2014)Pricing European option under the time-changed mixed Brownian-fractional Brownian model (2014)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 2006Some properties of the sub-fractional Brownian motion128 cited
  • 2006On the mixed fractional Brownian motion104 cited
  • 2003The fractional mixed fractional Brownian motion74 cited
  • 2003Equivalence of Volterra processes65 cited

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