| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 472941 | Computers & Mathematics with Applications | 2011 | 11 Pages |
Abstract
The aim of this paper is to provide a semimartingale approximation of a fractional stochastic integration. This result leads us to approximate the fractional Black–Scholes model by a model driven by semimartingales, and a European option pricing formula is found.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Nguyen Tien Dung,