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

DOI10.1007/S40840-023-01546-7zbMATH Open1515.60102OpenAlexW4382939522MaRDI QIDQ6164067FDOQ6164067

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)

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

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zbMATH Keywords

fractional Brownian motionBlack-ScholesWick product

Mathematics Subject Classification ID

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

Cites Work

• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Title not available (Why is that?)
• A General Fractional White Noise Theory And Applications To Finance
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• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• Probability density of fractional Brownian motion and the fractional Langevin equation with absorbing walls

Cited In (16)

• The reliability of geometric Brownian motion forecasts of S\&P500 index values
• Forecasting with fractional Brownian motion: a financial perspective
• Title not available (Why is that?)
• Fractional Brownian motion in finance
• Fractional Brownian motion with two-variable Hurst exponent
• Fractional Brownian Motions in Financial Models and Their Monte Carlo Simulation
• Estimating dynamic geometric fractional Brownian motion and its application to long-memory option pricing
• Non-ideal Brownian motion, generalized Langevin equation and its application to the security market
• Stochastic financial model based on fractional Brownian motion
• A General Fractional White Noise Theory And Applications To Finance
• APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• 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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