Björk, Tomas; Hult, Henrik - In: Finance and Stochastics 9 (2005) 2, pp. 197-209
Brownian motion and that the Itô integral is replaced by the Wick integral, and proofs have been presented that these … 2004). Common to these fractional Black-Scholes models is that the driving Brownian motion is replaced by a fractional …