Semimartingale approximation of fractional Brownian motion and its applications

DOI10.1016/J.CAMWA.2011.02.013MaRDI QIDQ636573zbMATH OpenOpenAlexFDO

Authors Nguyen Tien Dung

Publication date 28 August 2011

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2011.02.013

zbMATH Keywords

fractional Brownian motionsemimartingaleBlack-Scholes modelstochastic integrals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 5159218 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 2171403 (Why is no real title available?)
• A class of fractional stochastic differential equations
• A note on fractional Brownian motion
• An approximate approach to fractional analysis for finance
• Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
• Fractional Brownian Motions, Fractional Noises and Applications
• Fubini theorem for anticipating stochastic integrals in Hilbert space
• Integration with respect to fractal functions and stochastic calculus. I
• Intégrale stochastique pour le mouvement brownien fractionnaire
• Mixed fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic differential equations. An introduction with applications.

Cited in

(16)

• Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
• On the approximation of Lévy driven Volterra processes and their integrals
• Computational Science - ICCS 2004
• On the approximate discrete KLT of fractional Brownian motion and applications
• Fractional stochastic differential equations with applications to finance
• A geometric Brownian motion model with compound Poisson process and fractional stochastic volatility
• A note on fractional Brownian motion
• Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
• An approximate approach to fractional stochastic integration and its applications
• Approximation of fractional Brownian motion by martingales
• On the approximation of geometric fractional Brownian motion
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
• A fractional Black-Scholes model with jumps
• Least squares estimations for approximate fractional vasicek model driven by a semimartingale
• Asset prices with investor protection and past information
• Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?

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