Option Pricing in a Fractional Brownian Motion Environment
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2
|Date of creation:||Jan 2008|
|Date of revision:|
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