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Option Pricing in a Fractional Brownian Motion Environment · Study

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PreprintOption Pricing in a Fractional Brownian Motion Environment

Ciprian Necula2008

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Preprintgreen2008

Option Pricing in a Fractional Brownian Motion Environment

120 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1999Stochastic Analysis of the Fractional Brownian Motion 1997Arbitrage with Fractional Brownian Motion 2000Stochastic Calculus for Fractional Brownian Motion I. Theory 2001Stochastic Calculus with Respect to Gaussian Processes 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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2004An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion 2010Pricing currency options in a fractional Brownian motion with jumps 2013Pricing currency options in the mixed fractional Brownian motion 2012Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm 2016Option pricing beyond Black–Scholes based on double-fractional diffusion 2004A guided walk down Wall Street: an introduction to econophysics 2014Pricing European option under the time-changed mixed Brownian-fractional Brownian model 2014Fractional Order Stochastic Differential Equation with Application in European Option Pricing

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2008Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motionarticle · 5 shared references 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)article · 5 shared references 2003An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameterarticle · 5 shared references 2003On arbitrage and replication in the fractional Black–Scholes pricing modelarticle · 5 shared references 2007Fractional Brownian motion: stochastic calculus and applicationschapter · 5 shared references 2013Almost sure and moment stability properties of fractional order Black-Scholes modelarticle · 5 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations120

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1286833

openalex_workW2123422002

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