English, Article, Journal or magazine article edition: A Framework for Derivative Pricing in the Fractional Black-Scholes Market Ciprian Necula

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Bookmark: http://trove.nla.gov.au/version/198185
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Framework for Derivative Pricing in the Fractional Black-Scholes Market
Author
  • Ciprian Necula
Physical Description
  • preprint
Notes
  • The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional expectation, especially the behavior to a Girsanov transform. We obtain the risk-neutral valuation formula and the fundamental evaluation equation in the case of the fractional Black-Scholes market.
  • fractional Brownian motion, fractional Black-Scholes market, quasiconditional expectation, mathematical finance, contingent claim
  • RePEc:cab:wpaefr:19
Language
  • English
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