Options valuating of FBM model based on the martingale method

MaRDI QIDQ5320521zbMATH OpenFDO

Authors Zhengyang Mei, Yukong Yang

Publication date 22 July 2009

zbMATH Keywords

equivalent martingale measurefractional Brownian motionHurst indexoptions valuation

Mathematics Subject Classification ID

Brownian motion (60J65)

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