Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
1
a Kiev National Taras Shevchenko University, Department of Mechanics and Mathematics , Vladimirskaya, 64, 01033, Kiev, Ukraine
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Publication type: Journal Article
Publication date: 2004-08-01
SJR: —
CiteScore: —
Impact factor: —
ISSN: 10451129
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8
Total citations:
8
Citations from 2024:
1
(12.5%)
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Citations in journal:
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GOST
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MISHURA Y. Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility // Stochastics and Stochastic Reports. 2004. Vol. 76. No. 4. pp. 363-381.
GOST all authors (up to 50)
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MISHURA Y. Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility // Stochastics and Stochastic Reports. 2004. Vol. 76. No. 4. pp. 363-381.
Cite this
RIS
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TY - JOUR
DO - 10.1080/10451120410001710138
UR - https://doi.org/10.1080/10451120410001710138
TI - Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
T2 - Stochastics and Stochastic Reports
AU - MISHURA, YULIYA
PY - 2004
DA - 2004/08/01
PB - Taylor & Francis
SP - 363-381
IS - 4
VL - 76
SN - 1045-1129
ER -
Cite this
BibTex (up to 50 authors)
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@article{2004_MISHURA,
author = {YULIYA MISHURA},
title = {Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility},
journal = {Stochastics and Stochastic Reports},
year = {2004},
volume = {76},
publisher = {Taylor & Francis},
month = {aug},
url = {https://doi.org/10.1080/10451120410001710138},
number = {4},
pages = {363--381},
doi = {10.1080/10451120410001710138}
}
Cite this
MLA
Copy
MISHURA, YULIYA. “Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility.” Stochastics and Stochastic Reports, vol. 76, no. 4, Aug. 2004, pp. 363-381. https://doi.org/10.1080/10451120410001710138.