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The fractional and mixed-fractional CEV model · Study

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ArticleThe fractional and mixed-fractional CEV model

Axel A. Araneda2019

OA

Articlebronze2019

The fractional and mixed-fractional CEV model

Axel A. Araneda

17 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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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 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1991Long-Term Memory in Stock Market Prices 2000Asymmetric Volatility and Risk in Equity Markets 1989Long-term Memory in Stock Market Prices 2008Stochastic Calculus for Fractional Brownian Motion and Applications 1996Recovering Probability Distributions from Option Prices

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Details

Year2019

Typearticle

Published2019-06-08

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2019.06.006

openalex_workW2922189574

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