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OPTIMAL PORTFOLIO IN A FRACTIONAL BLACK & SCHOLES MARKET
Home
Publications
OPTIMAL PORTFOLIO IN A FRACTIONAL BLACK & SCHOLES MARKET
OPTIMAL PORTFOLIO IN A FRACTIONAL BLACK & SCHOLES MARKET
YH
Yaozhong Hu
Yaozhong Hu
BØ
Bernt Øksendal
Bernt Øksendal
AS
Agnès Sulem
Agnès Sulem
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21 November 2000
book chapter
Published by
World Scientific Pub Co Pte Ltd
p.
267-279
https://doi.org/10.1142/9789812792167_0021
Abstract
No abstract available
Keywords
MARTINGALE METHOD
SCHOLES
COX
BLACK
MARKET
STANDARD
HURST PARAMETER
MOTION BH
Cited by 5 articles