IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v65y2003i2p111-120.html
   My bibliography  Save this article

The fractional mixed fractional Brownian motion

Author

Listed:
  • El-Nouty, Charles

Abstract

We introduce the fractional mixed fractional Brownian motion and characterize the necessity part of its lower classes by an integral test.

Suggested Citation

  • El-Nouty, Charles, 2003. "The fractional mixed fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 111-120, November.
    • Handle: RePEc:eee:stapro:v:65:y:2003:i:2:p:111-120
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(03)00228-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhang, Wei-Guo & Li, Zhe & Liu, Yong-Jun, 2018. "Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 402-418.
    2. Kim, Kyong-Hui & Yun, Sim & Kim, Nam-Ung & Ri, Ju-Hyuang, 2019. "Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 215-231.
    3. Alexander I. Nazarov & Yakov Yu. Nikitin, 2018. "On Small Deviation Asymptotics In L 2 of Some Mixed Gaussian Processes," Mathematics, MDPI, vol. 6(4), pages 1-9, April.
    4. Wei-Guo Zhang & Zhe Li & Yong-Jun Liu & Yue Zhang, 2021. "Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 483-515, August.
    5. Foad Shokrollahi, 2017. "The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion," Papers 1712.05254, arXiv.org.
    6. Omid Jenabi & Nazar Dahmardeh Ghale No, 2018. "Option Pricing in Stochastic Volatility Models Driven by Fractional Jump-Diffusion Processes," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 8(1), pages 1374-1374.
    7. Foad Shokrollahi, 2017. "Pricing compound and extendible options under mixed fractional Brownian motion with jumps," Papers 1708.04829, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:65:y:2003:i:2:p:111-120. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.