A General Fractional White Noise Theory and Applications to Finance

نویسندگان

  • ROBERT J. ELLIOTT
  • Robert J. Elliott
  • JOHN VAN DER HOEK
چکیده

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, Øksendal, 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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تاریخ انتشار 2003