Ehsan, Azmoodeh; Yuliya, Mishura; Esko, Valkeila - In: Statistics & Risk Modeling 27 (2009) 2, pp. 129-144
We work with fractional Brownian motion with Hurst index H 1/2. We show that the pricing model based on geometric fractional Brownian motion behaves to certain extend as a process with bounded variation. This observation is based on a new change of variables formula for a convex function...