Option Pricing in a Fractional Brownian Motion Environment

Ciprian Necula

No 2, Advances in Economic and Financial Research - DOFIN Working Paper Series from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB

Abstract: 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

Keywords: fractional Brownian motion; fractional Black-Scholes market; quasiconditional expectation (search for similar items in EconPapers)
JEL-codes: C02 C60 G12 G13 (search for similar items in EconPapers)
Date: 2008-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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