Almost sure and moment stability properties of fractional order Black-Scholes model

Published 2013 View Full Article

Authors

Keywords

fractional Brownian motion, stochastic stability, Black-Scholes model, large deviations, Hurst parameter, Primary 60G22, Secondary 93E15, 60F10, 60H10, 60H35

Journal

Fractional Calculus and Applied Analysis

Volume 16, Issue 2, Pages -

Publisher

Walter de Gruyter GmbH

Online

2013-03-19

DOI

10.2478/s13540-013-0020-0

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