Björk, Tomas; Hult, Henrik - Economics Institute for Research (SIR), … - 2005
driving Brownian motion is replaced by a fractional Brownian motion and that the Ito integral is replaced by the Wick integral … price may, with positive
probability, have a negative “value”.
Key words: Mathematical Finance, Fractional Brownian motion …; Shiryaev, 1999) that the driving noise of the risky asset should not be
the Brownian motion W but a fractional Brownian motion …