A note on Wick products and the fractional Black-Scholes model
نویسندگان
چکیده
منابع مشابه
A note on Wick products and the fractional Black-Scholes model
In some recent papers (Elliott and van der Hoek, 2003; Hu and Øksendal, 2003) a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model (see also Benth, 2003; Biagini et al., 2002; Biagini and Øksendal, 2004). Common to these fractional BlackScholes models, is that the driving Brownian motion is replaced by a fractional Brownian motion and that t...
متن کاملOn Arbitrage and Replication in the Fractional Black Scholes Pricing Model
It has been proposed that the arbitrage possibility in the fractional Black–Scholes model depends on the definition of the stochastic integral. More precisely, if one uses the Wick– Itô–Skorohod integral one obtains an arbitrage-free model. However, this integral does not allow economical interpretation. On the other hand it is easy to give arbitrage examples in continuous time trading with sel...
متن کاملNumerical Solutions for Fractional Black-Scholes Option Pricing Equation
In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
متن کاملEuropean option pricing of fractional Black-Scholes model with new Lagrange multipliers
In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...
متن کاملPortfolio Optimization with Consumption in a Fractional Black-scholes Market
We consider the classical Merton problem of finding the optimal consumption rate and the optimal portfolio in a Black-Scholes market driven by fractional Brownian motion B with Hurst parameter H > 1/2. The integrals with respect to B are in the Skorohod sense, not pathwise which is known to lead to arbitrage. We explicitly find the optimal consumption rate and the optimal portfolio in such a ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2005
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-004-0144-5