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Estimation of dynamic geometric fractional brownian motion with application to long-memory option pricing

Estimation of dynamic geometric fractional brownian motion with application to long-memory option pricing
Estimation of dynamic geometric fractional brownian motion with application to long-memory option pricing
49-66
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Misiran, Masnita
d00bf591-6648-43e9-819a-bb8f97465d09
Teo, K.L.
e559ebab-51d3-4fe8-8eab-db1206c55651
Aw, Grace
f65413fc-fb26-4d9c-a37b-2b7f09a9f059
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Misiran, Masnita
d00bf591-6648-43e9-819a-bb8f97465d09
Teo, K.L.
e559ebab-51d3-4fe8-8eab-db1206c55651
Aw, Grace
f65413fc-fb26-4d9c-a37b-2b7f09a9f059

Lu, Zudi, Misiran, Masnita, Teo, K.L. and Aw, Grace (2012) Estimation of dynamic geometric fractional brownian motion with application to long-memory option pricing. Dynamic Systems and Applications, 21, 49-66.

Record type: Article

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More information

Published date: 2012
Organisations: Mathematical Sciences

Identifiers

Local EPrints ID: 360473
URI: http://eprints.soton.ac.uk/id/eprint/360473
PURE UUID: 4820a556-c4f0-4da2-93c6-4ed97c76812e
ORCID for Zudi Lu: ORCID iD orcid.org/0000-0003-0893-832X

Catalogue record

Date deposited: 10 Dec 2013 14:09
Last modified: 11 Dec 2021 04:46

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Contributors

Author: Zudi Lu ORCID iD
Author: Masnita Misiran
Author: K.L. Teo
Author: Grace Aw

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