Open AccessCap Pricings under the Fractional Brownian Motion
Author(s) -
Joon-Hee Rhee,
Yoon-Tae Kim
Publication year - 2008
Publication title -
communications for statistical applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.326
H-Index - 6
eISSN - 2383-4757
pISSN - 2287-7843
DOI - 10.5351/ckss.2008.15.1.137
Subject(s) - heath–jarrow–morton framework , fractional brownian motion , econometrics , range (aeronautics) , mathematics , interest rate , short rate model , brownian motion , economics , statistics , finance , volatility (finance) , materials science , composite material