Multiscale estimation of processes related to the fractional Black-Scholes equation

Computational Statistics

Volumn 18, Issue 3, 2003, Pages 401-415

  Fernandez Pascual R ^a   Ruiz Medina, M D ^b   Angulo, J M ^b  

^a UNIVERSITY OF JAÉN   (Spain)

^b UNIVERSITY OF GRANADA   (Spain)

Author keywords

Brownian motion; Fractal activity time; Fractional order differential models; Risk adjusted process; Vaguelette functions

Indexed keywords

EID: 19244368267     PISSN: 09434062     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF03354606     Document Type: Article

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