Longjin, Lv; Ren, Fu-Yao; Qiu, Wei-Yuan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4809-4818
In this paper, in order to establish connection between fractional derivative and fractional Brownian motion (FBM), we … pricing problem when the underlying of the option contract is supposed to be driven by a geometric fractional Brownian motion …