Journal
CHAOS SOLITONS & FRACTALS
Volume 12, Issue 3, Pages 599-608Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/S0960-0779(00)00028-X
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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.
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