Towards a better understanding of fractional Brownian motion and its application to finance

DOI10.1007/S40840-023-01546-7MaRDI QIDQ6164067zbMATH OpenOpenAlexFDO

Authors Yuanying Zhuang, Xiao Song

Publication date 26 July 2023

Published in Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40840-023-01546-7

zbMATH Keywords

fractional Brownian motionBlack-ScholesWick product

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 638014 (Why is no real title available?)
• scientific article; zbMATH DE number 1393004 (Why is no real title available?)
• A General Fractional White Noise Theory And Applications To Finance
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models
• Probability density of fractional Brownian motion and the fractional Langevin equation with absorbing walls
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

Cited in

(16)

• The reliability of geometric Brownian motion forecasts of S\&P500 index values
• Fractional Brownian motion with two-variable Hurst exponent
• scientific article; zbMATH DE number 1642340 (Why is no real title available?)
• Forecasting with fractional Brownian motion: a financial perspective
• Fractional Brownian motion in finance
• Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation
• Non-ideal Brownian motion, generalized Langevin equation and its application to the security market
• Estimating dynamic geometric fractional Brownian motion and its application to long-memory option pricing
• Stochastic financial model based on fractional Brownian motion
• A General Fractional White Noise Theory And Applications To Finance
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
• Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
• Is it Brownian or fractional Brownian motion?
• On stochasticity and turbulence in the federal funds market
• An enhanced applications of brownian motion to mathematical finance in stochastic modeling

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