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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/569
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dc.contributor.authorElliott, R.-
dc.contributor.authorVan Der Hoek, J.-
dc.date.issued2003-
dc.identifier.citationMathematical Finance, 2003; 13(2):301-330-
dc.identifier.issn0960-1627-
dc.identifier.issn1467-9965-
dc.identifier.urihttp://hdl.handle.net/2440/569-
dc.descriptionThe definitive version is available at www.blackwell-synergy.com-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityRobert J. Elliott, John Van Der Hoek-
dc.language.isoen-
dc.publisherBlackwell Publishers-
dc.source.urihttp://www.blackwell-synergy.com/doi/abs/10.1111/1467-9965.00018-
dc.subjectfractional Brownian motion-
dc.subjectfractional white noise-
dc.subjectGirasanov's theorem-
dc.subjectClark-Ocone representation theorem-
dc.subjectfractional Black-Scholes market-
dc.subjectfractional Ito isometry-
dc.titleA general fractional white noise theory and applications to finance-
dc.typeJournal article-
dc.identifier.doi10.1111/1467-9965.00018-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
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