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ArticleArbitrage with fractional Gaussian processes

Xili Zhang2016

Article2016

Arbitrage with fractional Gaussian processes

Xili Zhang · Weilin Xiao

28 citations·0/0 files stored·Physica A Statistical Mechanics and its 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 1973Theory of Rational Option Pricing 1968Fractional Brownian Motions, Fractional Noises and Applications 2005Theory of rational option pricing 2001Empirical properties of asset returns: stylized facts and statistical issues 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1995Scaling behaviour in the dynamics of an economic index 1991Long-Term Memory in Stock Market Prices

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Year2016

Typearticle

Published2016-12-30

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2016.12.064

openalex_workW2565616486

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