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Option Pricing in a Fractional Brownian Motion Environment
2002
Social Science Research Network
Preserved Fulltext
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every , a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion
doi:10.2139/ssrn.1286833
fatcat:5scu3wogczcl5myj5tjazkbusm