Option pricing with regulated fractional Brownian motion

DOI10.1002/(SICI)1099-0747(199812)14:4%3C285::AID-ASM363%3E3.0.CO;2-RzbMATH Open0924.90004OpenAlexW2050619459MaRDI QIDQ4258745FDOQ4258745

Authors: Giovanni Barone-Adesi, Robert J. Elliott, Fermin Aldabe 

Publication date: 14 September 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-0747(199812)14:4%3C285::aid-asm363%3E3.0.co;2-r

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zbMATH Keywords

option pricingmartingalefractional Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• Title not available (Why is that?)
• Fractional processes as models in stochastic finance
• Arithmetic Brownian motion and real options
• Title not available (Why is that?)
• Gaussian moving averages, semimartingales and option pricing.
• Options valuating of FBM model based on the martingale method
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• Option pricing in fractional Brownian markets

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