Fractional Processes as Models in Stochastic Finance

By Christian Bender, Tommi Sottinen, Esko Valkeila. 2010

68 citations recorded by the source corpus.

We survey some new progress on the pricing models driven by fractional Brownian motion or mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We summarize some recent results on fractional Black & Scholes pricing model with transaction costs. We end the paper by giving some approximation results and indicating some open problems related to the paper.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f6b0a2e370a63764931dc8f5c688adf516efadc6