BAYRAKTAR, ERHAN; POOR, H. VINCENT - In: International Journal of Theoretical and Applied … 08 (2005) 03, pp. 283-300
motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the … introduced by the fractional Brownian motion. Work has been done previously on this problem for the case with constant … modulator is fractional Brownian motion or a time change of it. (Volatility in fractional Black–Scholes models does not carry …