Wick–Itô formula for regular processes and applications to the Black and Scholes formula

DOI10.1080/17442500801928788zbMath1160.60012OpenAlexW2048898676MaRDI QIDQ3541205

David Nualart, Murad S. Taqqu

Publication date: 25 November 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500801928788

zbMATH Keywords

fractional Brownian motionMalliavin calculusoption pricingItô formulaWiener chaos expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (4)

Itô's formula for Gaussian processes with stochastic discontinuities ⋮ On moment estimates and continuity for solutions of SDEs driven by fractional Brownian motions under non-Lipschitz conditions ⋮ Unnamed Item ⋮ The fractional and mixed-fractional CEV model

Cites Work

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• Stochastic and multiple Wiener integrals for Gaussian processes
• Forward, backward and symmetric stochastic integration
• Mixed fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Arbitrage with Fractional Brownian Motion
• A General Fractional White Noise Theory And Applications To Finance
• Wick-Itô Formula for Gaussian Processes

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