Option pricing of fractional version of the Black-Scholes model with Hurst exponent H being in (1/3,1/2)

A model for option pricing of fractional version of the Black-Scholes model with Hurst exponent H being in (1/3,1/2) is established. To do this, the stochastic integration with respect to the fractional Brownian motion B-H With Hurst parameter H is an element of (0, 1/2) is defined. (C) 2000 Elsevier Science Ltd. All rights reserved.