Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 149-164 (16 pages) This paper develops a European option pricing formula for fractional ...
In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure ...
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