## Abstract Fractal Brownian motion, also called fractional Brownian motion (fBm), is a class of stochastic processes characterized by a single parameter called the Hurst parameter, which is a real number between zero and one. fBm becomes ordinary standard Brownian motion when the parameter has the
β¦ LIBER β¦
Arbitrage in fractional Brownian motion models
β Scribed by Patrick Cheridito
- Publisher
- Springer-Verlag
- Year
- 2003
- Tongue
- English
- Weight
- 253 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0949-2984
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