Title: Fractional Brownian Motion and Financial Modelling
Abstract: 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-Scholas market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.
Publication Year: 2001
Publication Date: 2001-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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Cited By Count: 12
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