Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

DOI10.1080/10451120410001710138zbMath1052.60029OpenAlexW2000528499MaRDI QIDQ4821629

Publication date: 21 October 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120410001710138

zbMATH Keywords

fractional Brownian financial market Wick integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (7)

Correlated continuous time random walk and option pricing ⋮ Option pricing based on modified advection-dispersion equation: stochastic representation and applications ⋮ Stability and Convergence of L1-Galerkin Spectral Methods for the Nonlinear Time Fractional Cable Equation ⋮ FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION ⋮ Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime ⋮ Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion ⋮ Asymptotic stability of compact and linear \(\theta \)-methods for space fractional delay generalized diffusion equation

This page was built for publication: Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility