Fractional processes as models in stochastic finance
Pricing of Securities
2010-04-20 v1 Probability
Computational Finance
Abstract
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{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.
Cite
@article{arxiv.1004.3106,
title = {Fractional processes as models in stochastic finance},
author = {Christian Bender and Tommi Sottinen and Esko Valkeila},
journal= {arXiv preprint arXiv:1004.3106},
year = {2010}
}
Comments
To appear in Advanced Mathematical Methods for Finance (Eds. G. Di Nunno and B. {\O}ksendal Series in Mathematical Finance, Springer)