Necula, Cipian - Center for Advanced Research in Finance and Banking … - 2008
the standard Brownian motion and we conclude that in the case of the fractional Brownian motion the price of the option no … Brownian motion BH (t), 1/2 < H < 1. For this purpose we will first prove some results regarding the quasi …,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional …