ROTUNDO, GIULIA; CERQUETI, ROY - In: New Mathematics and Natural Computation (NMNC) 06 (2010) 01, pp. 109-118
This paper aims at supplying a decision support system tool to investors having options written on an underlying asset driven by a fractional Brownian motion (fBm). The results presented here rely on the theory of nonlinear transformations of fBm and provide the calculus of the probability...