Itô’s Formula with Respect to Fractional Brownian Motion and its Application

Journal of Applied Mathematics and Stochastic Analysis

Volumn 9, Issue 4, 1996, Pages 439-448

  Dai, W ^a   Heyde, C C ^a,b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Black Scholes Model; Fractional Brownian Motion; It s Formula; Long Range Dependence; Stochastic Differential Equations

Indexed keywords

EID: 53349108011     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/S104895339600038X     Document Type: Article

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