Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

Insurance: Mathematics and Economics

Volumn 42, Issue 1, 2008, Pages 271-287

  Jumarie, Guy ^a  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

Author keywords

Fractional Black Scholes equation; Fractional Brownian motion; Fractional exponential growth; Fractional Gaussian noises; Fractional stochastic differential equation; Path probability density

Indexed keywords

EID: 38749136661     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.03.001     Document Type: Article

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