OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION

By Yaozhong Hu, Bernt Øksendal, Agnès Sulem. 2003

66 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/90447590bacf956dab1dd021afc7ec3fb1bbf966

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In Economics and Econometrics

1. Mehmet Yavuz
2. Necati Özdemir

In Finance

1. Mehmet Yavuz
2. Necati Özdemir

Citations in the corpus

• European Vanilla Option Pricing Model of Fractional Order without Singular Kernel (2018, methodology): “Moreover, these proposed fractional techniques have been used to obtain the solution of the optimal control problem [15], the constrained optimization problem [16], the portfolio optimization problem [17], the diffusion-wave problem [18], etc.”