期刊
MATHEMATICAL FINANCE
卷 13, 期 2, 页码 301-330出版社
WILEY
DOI: 10.1111/1467-9965.00018
关键词
fractional Brownian motion; fractional white noise; Girsanov's theorem; Clark-Ocone representation theorem; fractional Black-Scholes market; fractional Ito isometry
We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu, Oksendal, Duncan, Pasik-Duncan, and others. As an application we develop option pricing in a fractional Black-Scholes market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.
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