Option Pricing in a Fractional Brownian Motion Environment
By C. Necula. 2002
167 citations recorded by the source corpus.
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/18c73e1ad775d2fac722a119cc5d6a654a9e91cb
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In Finance
- Kevin Burrage
- Fred Espen Benth
- J. Šaltytė Benth
- J. Saltyte-Benth
- Nina Lange
- Steen Koekebakker
- Almut E. D. Veraart
- Ole E. Barndorff-Nielsen
Citations in the corpus
- On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003, background): “Necula (2002) derives a dynamics for options on assets modelled as a fractional geometric Brownian motion (Hu and Øksendal, 2003).”
- Numerical solution of time fractional diffusion systems (2017, background): “Fractional models are increasingly used in many modelling situations including viscoelastic materials in mechanics [30, 42], anomalous diffusion in transport dynamics of complex systems [25, 33], soft tissues such as mitral valve in the human heart [40], some biological processes in rheology [12], t”