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Gaussian moving averages, semimartingales and option pricing · Study

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ArticleGaussian moving averages, semimartingales and option pricing

Patrick Cheridito2003

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Articlebronze2003

Gaussian moving averages, semimartingales and option pricing

Patrick Cheridito

44 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1968Fractional Brownian Motions, Fractional Noises and Applications 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1991Brownian motion and stochastic calculus 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing

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2008Gaussian Moving Averages and Semimartingales 2014Limit theorems for power variations of ambit fields driven by white noise

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Year2003

Typearticle

Published2003-10-09

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2003.08.002

openalex_workW2006972204

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