Option pricing with regulated fractional Brownian motion

DOI10.1002/(SICI)1099-0747(199812)14:4%3C285::AID-ASM363%3E3.0.CO;2-RMaRDI QIDQ4258745zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingmartingalefractional Brownian motion

Mathematics Subject Classification ID

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

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• Option pricing in fractional Brownian markets
• Fractional processes as models in stochastic finance
• Gaussian moving averages, semimartingales and option pricing.
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