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ArticleThe fractional mixed fractional Brownian motion

Charles El-Nouty2003

Article2003

The fractional mixed fractional Brownian motion

Charles El-Nouty

74 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Probability and Statistical Research Fractional Differential Equations Solutions

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2001Mixed Fractional Brownian Motion

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2012Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm 2014Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment 2014Pricing European option under the time-changed mixed Brownian-fractional Brownian model 2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps 2015On the sub-mixed fractional Brownian motion 2017Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

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2003Arbitrage in fractional Brownian motion modelsarticle · 1 shared reference 2005On bifractional Brownian motionarticle · 1 shared reference 2006Some properties of the sub-fractional Brownian motionarticle · 1 shared reference 2012A note on the use of fractional Brownian motion for financial modelingarticle · 1 shared reference 2006On the mixed fractional Brownian motionarticle · 1 shared reference 2008Pricing by hedging and no-arbitrage beyond semimartingalesarticle · 1 shared reference

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Year2003

Typearticle

Published2003-09-17

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations74

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2003.07.007

openalex_workW2001194427

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