Fractional processes as models in stochastic finance
Bender, Christian ; Sottinen, Tommi ; Valkeila, Esko
arXiv, 1004.3106 / Harvested from arXiv
Text on arXiv
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We summarize some recent results on fractional Black & Scholes pricing model with transaction costs. We end the paper by giving some approximation results and indicating some open problems related to the paper.
Publié le : 2010-04-19
Classification:  Quantitative Finance - Pricing of Securities,  Mathematics - Probability,  Quantitative Finance - Computational Finance,  91B28, 91B70, 60G15, 60H05 
@article{1004.3106,
     author = {Bender, Christian and Sottinen, Tommi and Valkeila, Esko},
     title = {Fractional processes as models in stochastic finance},
     journal = {arXiv},
     volume = {2010},
     number = {0},
     year = {2010},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1004.3106}
}

Bender, Christian; Sottinen, Tommi; Valkeila, Esko. Fractional processes as models in stochastic finance. arXiv, Tome 2010 (2010) no. 0, . http://gdmltest.u-ga.fr/item/1004.3106/