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Publication details

Document type
Journal articles

Document subtype
Full paper

Title
No-arbitrage, leverage and completeness in a fractional volatility model

Participants in the publication
R. Vilela Mendes (Author)
CMAFcIO
 M. J. Oliveira (Author)
CMAFcIO
 A. M. Rodrigues (Author)

Date of Publication
2015

Where published
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Publication Identifiers
ISSN - 0378-4371

Volume
419

Starting page
470
Last page
478

Document Identifiers
URL - http://www.sciencedirect.com/science/article/pii/s0378437114008942
DOI - https://doi.org/10.1016/j.physa.2014.10.056


Export

APA
R. Vilela Mendes, M. J. Oliveira, A. M. Rodrigues, (2015). No-arbitrage, leverage and completeness in a fractional volatility model. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 419, 470-478. ISSN 0378-4371. eISSN . http://www.sciencedirect.com/science/article/pii/s0378437114008942

IEEE
R. Vilela Mendes, M. J. Oliveira, A. M. Rodrigues, "No-arbitrage, leverage and completeness in a fractional volatility model" in PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol. 419, pp. 470-478, 2015. 10.1016/j.physa.2014.10.056

BIBTEX
@article{22951, author = {R. Vilela Mendes and M. J. Oliveira and A. M. Rodrigues}, title = {No-arbitrage, leverage and completeness in a fractional volatility model}, journal = {PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS}, year = 2015, pages = {470-478}, volume = 419 }