Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence

Insurance: Mathematics and Economics

Volumn 37, Issue 3, 2005, Pages 585-598

  Jumarie, Guy ^a  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

Author keywords

Fractional Black Scholes market; Fractional Brownian motion; Fractional It 's calculus; Stochastic optimal control of fractional order

Indexed keywords

EID: 29144478252     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.06.003     Document Type: Article

References (14)

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