Semimartingale approximation of fractional Brownian motion and its applications
نویسنده
چکیده
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. 2000 AMS Classification: 60H05, 65G15, 62P05.
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عنوان ژورنال:
- Computers & Mathematics with Applications
دوره 61 شماره
صفحات -
تاریخ انتشار 2011