Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
Year of publication: |
2009
|
---|---|
Authors: | Chan, Ngai Hang ; Ng, Chi Tim |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 5, p. 519-525
|
Publisher: |
Taylor & Francis Journals |
Subject: | Fractional Brownian motion | Option pricing | Arbitrage pricing | Stochastic differential equations |
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