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Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing
(Articles)
Mohammed Alhagyan
,
Masnita Misiran
,
Zurni Omar
Open Access Library Journal
Vol.3 No.8
,August 19, 2016
DOI:
10.4236/oalib.1102863
1,466
Downloads
2,671
Views
Citations
Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion?
(Articles)
Xinbing Kong
,
Bingyi Jing
,
Cuixia Li
Journal of Mathematical Finance
Vol.3 No.4
,November 15, 2013
DOI:
10.4236/jmf.2013.34048
3,066
Downloads
5,494
Views
Citations
Strong Local Non-Determinism of Sub-Fractional Brownian Motion
(Articles)
Nana Luan
Applied Mathematics
Vol.6 No.13
,November 30, 2015
DOI:
10.4236/am.2015.613194
3,123
Downloads
4,114
Views
Citations
This article belongs to the Special Issue on
Fractional Calculus
Adaptive Fractional Polynomial Modeling
(Articles)
George J. Knafl
Open Journal of Statistics
Vol.8 No.1
,February 26, 2018
DOI:
10.4236/ojs.2018.81011
744
Downloads
1,848
Views
Citations
Controllability of a Stochastic Neutral Functional Differential Equation Driven by a fBm
(Articles)
Jingqi Han
,
Litan Yan
Journal of Applied Mathematics and Physics
Vol.6 No.4
,April 27, 2018
DOI:
10.4236/jamp.2018.64078
744
Downloads
1,665
Views
Citations
Multiple Solutions for a Class of Variable-Order Fractional Laplacian Equations with Concave-Convex Nonlinearity
(Articles)
Canlin Gan
,
Ting Xiao
,
Qiongfen Zhang
Journal of Applied Mathematics and Physics
Vol.10 No.3
,March 22, 2022
DOI:
10.4236/jamp.2022.103057
91
Downloads
460
Views
Citations
One Dimensional Random Motion on Segment with Reflecting Edges and Dependent Increments
(Articles)
Gurami Tsitsiashvili
Journal of Applied Mathematics and Physics
Vol.6 No.3
,March 15, 2018
DOI:
10.4236/jamp.2018.63045
553
Downloads
1,042
Views
Citations
Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs
(Articles)
Foad Shokrollahi
Journal of Mathematical Finance
Vol.8 No.4
,November 7, 2018
DOI:
10.4236/jmf.2018.84040
878
Downloads
1,752
Views
Citations
Perpetual American Call Option under Fractional Brownian Motion Model
(Articles)
Atsuo Suzuki
Journal of Mathematical Finance
Vol.13 No.2
,May 31, 2023
DOI:
10.4236/jmf.2023.132014
86
Downloads
394
Views
Citations
This article belongs to the Special Issue on
Pricing Strategy and Theory
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment
(Articles)
Qing Zhou
,
Chao Li
Journal of Mathematical Finance
Vol.2 No.4
,November 23, 2012
DOI:
10.4236/jmf.2012.24034
4,756
Downloads
7,807
Views
Citations
Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black-Scholes Framework
(Articles)
B. F. Nteumagné
,
E. Pindza
,
E. Maré
Journal of Mathematical Finance
Vol.4 No.1
,January 21, 2014
DOI:
10.4236/jmf.2014.41004
6,496
Downloads
8,938
Views
Citations
This article belongs to the Special Issue on
Option Pricing Research
Taylor’s Power Law for Ecological Communities—An Explanation on Nonextensive/Nonlinear Statistical Grounds
(Articles)
João D. T. Arruda-Neto
,
Henriette Righi
,
Marcos Antonio G. Cascino
,
Godofredo C. Genofre
,
Joel Mesa
Journal of Applied Mathematics and Physics
Vol.2 No.8
,July 4, 2014
DOI:
10.4236/jamp.2014.28084
3,825
Downloads
5,139
Views
Citations
Simulation of a Daily Precipitation Time Series Using a Stochastic Model with Filtering
(Articles)
Chieko Gomi
,
Yasuhisa Kuzuha
Open Journal of Modern Hydrology
Vol.3 No.4
,October 23, 2013
DOI:
10.4236/ojmh.2013.34025
3,440
Downloads
6,206
Views
Citations
Long Term Follow-Up Results of a Fractional Radio Frequency Ablative Treatment of Acne Vulgaris and Related Acne Scars
(Articles)
Judith Hellman
J. of Cosmetics, Dermatological Sciences and Applications
Vol.6 No.3
,June 2, 2016
DOI:
10.4236/jcdsa.2016.63013
3,264
Downloads
5,691
Views
Citations
Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention
(Articles)
Lawrence Dhliwayo
,
Florance Matarise
,
Charles Chimedza
Open Journal of Statistics
Vol.10 No.2
,April 29, 2020
DOI:
10.4236/ojs.2020.102023
1,383
Downloads
3,173
Views
Citations
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
(Articles)
Zhijuan Mao
,
Zhian Liang
Journal of Mathematical Finance
Vol.4 No.1
,December 25, 2013
DOI:
10.4236/jmf.2014.41001
5,380
Downloads
9,176
Views
Citations
This article belongs to the Special Issue on
Option Pricing Research
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
(Articles)
Wenjing Gu
,
Yinglin Liu
,
Ruili Hao
Journal of Mathematical Finance
Vol.6 No.2
,March 9, 2016
DOI:
10.4236/jmf.2016.62021
2,858
Downloads
3,891
Views
Citations
Fractional Stochastic Volatility Pricing of European Option Based on Self-Adaptive Differential Evolution
(Articles)
Yue Hu
,
Hongling Dong
,
Le Fu
,
Jiayang Zhai
Journal of Mathematical Finance
Vol.12 No.3
,August 25, 2022
DOI:
10.4236/jmf.2022.123029
182
Downloads
994
Views
Citations
The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective
(Articles)
Sharad Nath Bhattacharya
,
Mousumi Bhattacharya
,
Kousik Guhathakurta
Theoretical Economics Letters
Vol.8 No.8
,June 7, 2018
DOI:
10.4236/tel.2018.88096
788
Downloads
1,885
Views
Citations
This article belongs to the Special Issue on
International Economics
Novel Histological Evidence of Collagen and Elastin Regeneration in Fractional RF-Treated Acne Scars
(Articles)
Judith Hellman
,
Jonathan Yao
J. of Cosmetics, Dermatological Sciences and Applications
Vol.9 No.2
,June 5, 2019
DOI:
10.4236/jcdsa.2019.92013
949
Downloads
2,615
Views
Citations
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