A General Fractional White Noise Theory And Applications To Finance

Robert J. Elliott and John Van Der Hoek

Mathematical Finance, 2003, vol. 13, issue 2, 301-330

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, 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.

Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (67)

Downloads: (external link)
https://doi.org/10.1111/1467-9965.00018

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:13:y:2003:i:2:p:301-330

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().