Option pricing with regulated fractional Brownian motion

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-0747(199812)14:4<285::AID-ASM363>3.0.CO;2-R" /><285::AID-ASM363>3.0.CO;2-R 10.1002/(SICI)1099-0747(199812)14:4<285::AID-ASM363>3.0.CO;2-RzbMath0924.90004OpenAlexW2050619459MaRDI QIDQ4258745

Giovanni Barone-Adesi, Robert J. Elliott, Fermin Aldabe

Publication date: 14 September 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-0747(199812)14:4<285::aid-asm363>3.0.co;2-r

zbMATH Keywords

fractional Brownian motionoption pricingmartingale

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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