Back to Search
Start Over
Semimartingale approximation of fractional Brownian motion and its applications
- Source :
-
Computers & Mathematics with Applications . Apr2011, Vol. 61 Issue 7, p1844-1854. 11p. - Publication Year :
- 2011
-
Abstract
- Abstract: The aim of this paper is to provide a semimartingale approximation of a fractional stochastic integration. This result leads us to approximate the fractional Black–Scholes model by a model driven by semimartingales, and a European option pricing formula is found. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 08981221
- Volume :
- 61
- Issue :
- 7
- Database :
- Academic Search Index
- Journal :
- Computers & Mathematics with Applications
- Publication Type :
- Academic Journal
- Accession number :
- 59455793
- Full Text :
- https://doi.org/10.1016/j.camwa.2011.02.013