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article · Mathematical Finance · 2003

A General Fractional White Noise Theory And Applications To Finance

Robert J. Elliott, John van der Hoek

Cited by 308Abstract and details only

Abstract

We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu, Øksendal, Duncan, Pasik‐Duncan, and others. As an application we develop option pricing in a fractional Black‐Scholes market with a noise process driven by a sum of fractional Brownian motions with various Hurst indices.

Cite this paper

APA 7

Elliott, R. J., & van der Hoek, J. (2003). A General Fractional White Noise Theory And Applications To Finance. Mathematical Finance, 13(2), 301–330. https://doi.org/10.1111/1467-9965.00018

MLA 9

Elliott, Robert J., and John van der Hoek. “A General Fractional White Noise Theory And Applications To Finance.” Mathematical Finance, vol. 13, no. 2, 2003, pp. 301–30, https://doi.org/10.1111/1467-9965.00018.

Chicago

Elliott, Robert J., and John van der Hoek. 2003. “A General Fractional White Noise Theory And Applications To Finance.” Mathematical Finance 13 (2): 301–30. https://doi.org/10.1111/1467-9965.00018.

Harvard

Elliott, R.J. and van der Hoek, J. (2003) ‘A General Fractional White Noise Theory And Applications To Finance’, Mathematical Finance, 13(2), pp. 301–330. Available at: https://doi.org/10.1111/1467-9965.00018.

BibTeX
@article{elliott2003general,
  title = {{A General Fractional White Noise Theory And Applications To Finance}},
  author = {Elliott, Robert J. and van der Hoek, John},
  journal = {Mathematical Finance},
  volume = {13},
  number = {2},
  pages = {301--330},
  year = {2003},
  doi = {10.1111/1467-9965.00018}
}

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