SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

Finance and Stochastics

Volumn 9, Issue 2, 2005, Pages 197-209

A note on Wick products and the fractional Black-Scholes model

(2) Björk, Tomas a Hult, Henrik b

a STOCKHOLM SCHOOL OF ECONOMICS (Sweden)

b UNIVERSITY OF COPENHAGEN (Denmark)

Author keywords

Arbitrage; Fractional Brownian motion; Mathematical finance

Indexed keywords

EID: 17444428635 PISSN: 09492984 EISSN: None Source Type: Journal
DOI: 10.1007/s00780-004-0144-5 Document Type: Article

Times cited : (154)

References (17)

1
- 0346433436
- On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
- Benth, F.E.: On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Appl. Math. Finance 10, 303-324 (2003)
- (2003) Appl. Math. Finance , vol.10 , pp. 303-324
- Benth, F.E.¹

2
- 84920570018
- Oxford: Oxford University Press
- Björk, T.: Arbitrage Theory in Continuous Time, 2nd edn. Oxford: Oxford University Press 2004
- (2004) Arbitrage Theory in Continuous Time, 2nd Edn.
- Björk, T.¹

3
- 0036067342
- A stochastic maximum principle for processes driven by fractional Brownian motion
- Biagini F., Hu Y., Øksendal B., Sulem A.: A stochastic maximum principle for processes driven by fractional Brownian motion. Stochastic Process. Appl. 100, 233-253 (2002)
- (2002) Stochastic Process. Appl. , vol.100 , pp. 233-253
- Biagini, F.¹ Hu, Y.² Øksendal, B.³ Sulem, A.⁴

4
- 70449464633
- Minimal hedging for fractional Brownian motion
- forthcoming
- Biagini, F., Øksendal, B.: Minimal hedging for fractional Brownian motion. Methods Appl. Anal. (forthcoming)
- Methods Appl. Anal.
- Biagini, F.¹ Øksendal, B.²

5
- 0242389968
- Arbitrage in fractional Brownian motion models
- Cheridito, P.: Arbitrage in fractional Brownian motion models. Finance Stochast. 7, 533-553 (2003)
- (2003) Finance Stochast. , vol.7 , pp. 533-553
- Cheridito, P.¹

6
- 0001249935
- A general version of the fundamental theorem of asset pricing
- Delbaen, F., Schachermayer, W.: A General Version of the Fundamental Theorem of Asset Pricing. Math. Ann. 300, 463-520 (1994)
- (1994) Math. Ann. , vol.300 , pp. 463-520
- Delbaen, F.¹ Schachermayer, W.²

7
- 0033878593
- Stochastic calculus for fractional Brownian motion
- Duncan, T. E., Hu, Y., Pasik-Duncan, B.: Stochastic calculus for fractional Brownian motion. SIAM J. Control Optim. 38, 582-612 (2000)
- (2000) SIAM J. Control Optim. , vol.38 , pp. 582-612
- Duncan, T.E.¹ Hu, Y.² Pasik-Duncan, B.³

8
- 0141936531
- A general white noise theory and applications to finance
- Elliott, R.J., van der Hoek, J.: A general white noise theory and applications to finance. Math. Finance 13, 301-330 (2003)
- (2003) Math. Finance , vol.13 , pp. 301-330
- Elliott, R.J.¹ Van Der Hoek, J.²

9
- 0038246338
- Fractional white noise calculus and applications to finance
- Hu, Y., Øksendal, B.: Fractional white noise calculus and applications to finance. Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, 1-32 (2003)
- (2003) Infin. Dimens. Anal. Quantum Probab. Relat. Top. , vol.6 , pp. 1-32
- Hu, Y.¹ Øksendal, B.²

10
- 0011826897
- Empirical implications of arbitrage-free asset markets
- Philips, P.C.B. (ed.). Basil Blackwell
- Maheswaran, S., Sims, C.A.: Empirical implications of arbitrage-free asset markets. In: Philips, P.C.B. (ed.) Models, methods, and applications in econometrics. Basil Blackwell 1993
- (1993) Models, Methods, and Applications in Econometrics
- Maheswaran, S.¹ Sims, C.A.²

11
- 0003422469
- Berlin Heidelberg New York: Springer
- Mandelbrot, B.: Fractals and scaling in finance. Berlin Heidelberg New York: Springer 1997
- (1997) Fractals and Scaling in Finance
- Mandelbrot, B.¹

12
- 11244307581
- Fractional Brownian motion in finance
- Jensen, B.S., Palokangas, T. (eds.). Cambridge: Cambridge University Press (forthcoming)
- Øksendal, B.: Fractional Brownian motion in finance. In: Jensen, B.S., Palokangas, T. (eds.) Stochastic economic dynamics. Cambridge: Cambridge University Press (forthcoming)
- Stochastic Economic Dynamics
- Øksendal, B.¹

13
- 0031540977
- Arbitrage from fractional Brownian motion
- Rogers, L.C.G.: Arbitrage from fractional Brownian motion. Math. Finance 7, 95-105 (1997)
- (1997) Math. Finance , vol.7 , pp. 95-105
- Rogers, L.C.G.¹

14
- 0008275846
- Tolerance to arbitrage
- Salopek, D.M.: Tolerance to arbitrage. Stochastic Process. Appl. 76, 217-230 (1998)
- (1998) Stochastic Process. Appl. , vol.76 , pp. 217-230
- Salopek, D.M.¹

15
- 0040464025
- On arbitrage and replication for fractal models
- MaPhySto, Aarhus, Denmark
- Shiryaev, A.N.: On arbitrage and replication for fractal models. Research Report 1998-20. MaPhySto, Aarhus, Denmark (1998)
- (1998) Research Report , vol.1998 , Issue.20
- Shiryaev, A.N.¹

16
- 0003745328
- World Scientific
- Shiryaev, A.N.: Essentials of Stochastic Finance. World Scientific 1999
- (1999) Essentials of Stochastic Finance
- Shiryaev, A.N.¹

17
- 7444250256
- On arbitrage and replication in the fractional Black-Scholes pricing model
- Sottinen, T., Valkeila, E.: On arbitrage and replication in the fractional Black-Scholes pricing model. Statist. Decisions 21, 93-108 (2003)
- (2003) Statist. Decisions , vol.21 , pp. 93-108
- Sottinen, T.¹ Valkeila, E.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.