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Mixed Fractional Brownian Motion
8 references·16 citing·41 second hop
Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian MotionRational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Theory of Martingales (1989)Theory of MartingalesStochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)Averaging principle for distr…Pricing geometric Asian power options under mixed fractional Brownian motion environment (2015)Pricing geometric Asian power…Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…A note on the use of fractional Brownian motion for financial modeling (2012)A note on the use of fraction…Option Pricing in Fractional Brownian Markets (2009)Option Pricing in Fractional …Pricing by hedging and no-arbitrage beyond semimartingales (2008)Pricing by hedging and no-arb…Wiener integrals, Malliavin calculus and covariance measure structure (2007)Wiener integrals, Malliavin c…Fractional Brownian motion: stochastic calculus and applications (2007)Fractional Brownian motion: s…An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)An Introduction to (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…On bifractional Brownian motion (2005)On bifractional Brownian moti…Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance (2004)Fractional Brownian motion as…The fractional mixed fractional Brownian motion (2003)The fractional mixed fraction…Equivalence of Volterra processes (2003)Equivalence of Volterra proce…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…The Variation of Certain Speculative Prices (1963)Option pricing (1976)A contingent-claims valuation of convertible securities (1977)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)The variation of certain speculative prices (1997)American Economic Review (2019)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. 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this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1989Theory of Martingales956 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2015Rational Theory of Warrant Pricing534 cited

Cited by

  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 2005On bifractional Brownian motion143 cited
  • 2006Some properties of the sub-fractional Brownian motion128 cited
  • 2012A note on the use of fractional Brownian motion for financial modeling106 cited
  • 2006On the mixed fractional Brownian motion104 cited
  • 2008Pricing by hedging and no-arbitrage beyond semimartingales94 cited
  • 2004Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance74 cited
  • 2013

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Pricing currency options in the mixed fractional Brownian motion
74 cited
  • 2003The fractional mixed fractional Brownian motion74 cited
  • 2007Wiener integrals, Malliavin calculus and covariance measure structure74 cited
  • 2015Pricing geometric Asian power options under mixed fractional Brownian motion environment68 cited
  • 2009Option Pricing in Fractional Brownian Markets68 cited
  • 2007Fractional Brownian motion: stochastic calculus and applications66 cited
  • 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion65 cited
  • 2003Equivalence of Volterra processes65 cited
  • 2022Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion63 cited