OPTIMAL PORTFOLIO IN A FRACTIONAL BLACK & SCHOLES MARKET

• 21 November 2000
• book chapter
• Published by World Scientific Pub Co Pte Ltd
• p. 267-279
• https://doi.org/10.1142/9789812792167_0021

Abstract

Keywords

• MARTINGALE METHOD
• SCHOLES
• COX
• BLACK
• MARKET
• STANDARD
• HURST PARAMETER
• MOTION BH