Soft Computing · 2019 · 13 citations · 26 references
BusinessFinanceMathematicsFinancial EconomicsQuantitative FinanceStochastic ProcessesBrownian MotionOption PricingOption Pricing ModelsSimulation MethodsStochastic CalculusStochastic Differential EquationsEuropean Option PricingFractional Brownian MotionFuzzy SetsOption Pricing TheoryOption Pricing Under Stochastic Interest RatesStandard Brownian Motion
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Long-Term Memory in Stock Market Prices
Andrew W. Lo · Econometrica · 1991 · 1.7K citations · Full text
Social Sciences, Economics, Finance +17
Arbitrage with Fractional Brownian Motion
L. C. G. Rogers · Mathematical Finance · 1997 · 622 citations
Social Sciences, Economics, Finance +13
Mixed Fractional Brownian Motion
Patrick Cheridito · Bernoulli · 2001 · 387 citations
Engineering, Finance, Mathematics +13