Adelaide Research & Scholarship
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https://hdl.handle.net/2440/569
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| Type: | Journal article |
| Title: | A general fractional white noise theory and applications to finance |
| Author: | Elliott, R. Van Der Hoek, J. |
| Citation: | Mathematical Finance, 2003; 13(2):301-330 |
| Publisher: | Blackwell Publishers |
| Issue Date: | 2003 |
| ISSN: | 0960-1627 1467-9965 |
| Statement of Responsibility: | 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 Girasanov's theorem Clark-Ocone representation theorem fractional Black-Scholes market fractional Ito isometry |
| Description: | The definitive version is available at www.blackwell-synergy.com |
| DOI: | 10.1111/1467-9965.00018 |
| Published version: | http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9965.00018 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest |
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