Measure transformation and option pricing in fractional Brownian motion environment (Q3640284)
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scientific article; zbMATH DE number 5629847
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| English | Measure transformation and option pricing in fractional Brownian motion environment |
scientific article; zbMATH DE number 5629847 |
Statements
11 November 2009
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fractional Brownian motion
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numeraire
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quasi-martingale method
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option
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0.8984110951423645
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0.8319576978683472
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0.7959999442100525
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0.7919932007789612
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