FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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DOI10.1142/S0219025703001110zbMath1045.60072MaRDI QIDQ3043488

Yaozhong Hu, Bernt Øksendal

Publication date: 6 August 2004

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion fractal Black-Scholes market

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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