Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Eric Djeutcha"'
Autor:
Eric Djeutcha, Jules Sadefo Kamdem
Publikováno v:
Annals of Operations Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fec3568f36d661df3af3919f3e71ee29
https://doi.org/10.1007/s10479-022-04808-y
https://doi.org/10.1007/s10479-022-04808-y
Autor:
Louis Aime Fono, Eric Djeutcha
Publikováno v:
Applied Mathematical Sciences. 15:369-376
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e503b7ba8eb1138b6bd49344a28853ff
https://doi.org/10.12988/ams.2021.914483
https://doi.org/10.12988/ams.2021.914483
Autor:
Louis Aime Fono, Eric Djeutcha
Publikováno v:
Applied Mathematical Sciences. 15:377-384
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ca10cf42469128bd82ebd994aaa0ce6
https://doi.org/10.12988/ams.2021.914516
https://doi.org/10.12988/ams.2021.914516
Autor:
Jules Sadefo Kamdem, Eric Djeutcha
Publikováno v:
Chaos, Solitons and Fractals
Chaos, Solitons and Fractals, Elsevier, 2021, 152, pp.111328. ⟨10.1016/j.chaos.2021.111328⟩
Chaos, Solitons and Fractals, Elsevier, 2021, 152, pp.111328. ⟨10.1016/j.chaos.2021.111328⟩
In this paper, we use the Mellin transform to obtain the analytical formulas of European option (call or put) values, when the evolution of the underlying asset return is governed by a mixed modified fractional stochastic process. As an extension of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0c7a929bdef1d2bd1b75bac53e0e2499
https://hal.archives-ouvertes.fr/hal-03324320
https://hal.archives-ouvertes.fr/hal-03324320
Publikováno v:
European Journal of Pure and Applied Mathematics. 12:448-468
This paper focuses on a mixed fractional version of Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motion with the Hurst parameter $H\in(\frac{3}{4},1)$ so that the model exhibits the long r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b5bf78a2b43152b44a53557914008dd
https://doi.org/10.29020/nybg.ejpam.v12i2.3395
https://doi.org/10.29020/nybg.ejpam.v12i2.3395
Publikováno v:
Journal of Mathematics Research. 11:142
In this paper, we emphasize the Black-Scholes equation using standard fractional Brownian motion BHwith the hurst index H ∈ [0,1]. N. Ciprian (Necula, C. (2002)) and Bright and Angela (Bright, O., Angela, I., & Chukwunezu (2014)) get the same formu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6046aac202606411d86a547ba0cad45
https://doi.org/10.5539/jmr.v11n2p142
https://doi.org/10.5539/jmr.v11n2p142
Publikováno v:
Journal of Mathematics Research. 11:76
This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf7984c3b8306fd9954cfeb4c9308bfc
https://doi.org/10.5539/jmr.v11n1p76
https://doi.org/10.5539/jmr.v11n1p76