Regularizing fractional Brownian motion with a view towards stock price modelling

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Author
Cheridito, Patrick
Date
2001
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-004218205
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Delbaen, Freddy
Examiner: Embrechts, Paul
Publisher
ETH Zürich
Subject
WIENER-PROZESSE + BROWNSCHE BEWEGUNG (WAHRSCHEINLICHKEITSRECHNUNG); ARBITRAGETHEORIE (OPERATIONS RESEARCH); OPTIONEN (FINANZEN); WIENER PROCESSES + BROWNIAN MOTION (PROBABILITY THEORY); ARBITRAGE THEORY (OPERATIONS RESEARCH); OPTIONS (FINANCE)
Organisational unit
03440 - Delbaen, Freddy
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Diss., Mathematische Wissenschaften ETH Zürich, Nr. 14051, 2001.
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