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|Title:||A general fractional white noise theory and applications to finance|
Van Der Hoek, J.
|Citation:||Mathematical Finance, 2003; 13(2):301-330|
|Robert J. Elliott, John Van Der Hoek|
|Abstract:||We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu, Øksendal, Duncan, Pasik-Duncan, and others. As an application we develop option pricing in a fractional Black-Scholes market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.|
|Keywords:||fractional Brownian motion|
fractional white noise
Clark-Ocone representation theorem
fractional Black-Scholes market
fractional Ito isometry
|Description:||The definitive version is available at www.blackwell-synergy.com|
|Appears in Collections:||Applied Mathematics publications|
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