OpenAlex | Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

Work

Year: 2004

Type: article

Source: Stochastics and stochastics reports

Author Yuliya Mishura

Institution Taras Shevchenko National University of Kyiv

Cites: 7

Cited by: 14

Related to: 10

FWCI: 0.609

Citation percentile (by year/subfield): 84.48

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed