Regularizing fractional Brownian motion with a view towards stock price modelling

Metadata Label Value
Author(s): Cheridito, Patrick
Publisher: Unknown
Citation:

Cheridito, Patrick. Regularizing fractional Brownian motion with a view towards stock price modelling. (2001). http://dx.doi.org/10.3929/ethz-a-004218205

Document Type: Doctoral and Habilitation Theses  
Documents: Abstract (81.04KB) , Fulltext (3.54MB)
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Detailed Information

Metadata Description
Title Regularizing fractional Brownian motion with a view towards stock price modelling
Author(s) Cheridito, Patrick
Publication Place Zürich
Publication Date 2001
Notes Diss., Mathematische Wissenschaften ETH Zürich, Nr. 14051, 2001
Language English
DOI http://dx.doi.org/10.3929/ethz-a-004218205
Subject(s) Mathematical Statistics
Keyword(s) WIENER PROCESSES
BROWNIAN MOTION
PROBABILITY THEORY
ARBITRAGE THEORY
OPTIONS
STOCK EXCHANGE
OPTION PRICING
Description File Name MIME Type Size
Abstract   eth-24223-01.pdf application/pdf 81.04KB
Fulltext   eth-24223-02.pdf application/pdf 3.54MB
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E-Collection record created: Fri, 18 Apr 2008, 22:57:03 CET