An approximate approach to fractional analysis for finance

DOI10.1016/j.nonrwa.2004.08.012zbMath1104.60033OpenAlexW1982790767MaRDI QIDQ2490081

Tran Hung Thao

Publication date: 28 April 2006

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2004.08.012

zbMATH Keywords

fractional Brownian motionarbitragefractional Langevin equationfractional Black-Scholes model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

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Cites Work

• Unnamed Item
• Stochastic analysis of the fractional Brownian motion
• Fractal Langevin equation
• A note on fractional Brownian motion
• Arbitrage with Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications

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