The sub-fractional CEV model
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DOI: 10.1016/j.physa.2021.125974
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References listed on IDEAS
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Cited by:
- Sutthimat, Phiraphat & Mekchay, Khamron & Rujivan, Sanae, 2022. "Closed-form formula for conditional moments of generalized nonlinear drift CEV process," Applied Mathematics and Computation, Elsevier, vol. 428(C).
- Axel A. Araneda, 2021. "Price modelling under generalized fractional Brownian motion," Papers 2108.12042, arXiv.org, revised Nov 2023.
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Keywords
Sub-fractional Brownian motion; CEV model; Option pricing; Sub-fractional Fokker–Planck; Long-range dependence; Econophysics;All these keywords.
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