| Autor: |
C. Olunkwa, B. O. Osu, C. N. Obi, A. I. Chukwunezu |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
Earthline Journal of Mathematical Sciences. :143-157 |
| ISSN: |
2581-8147 |
| Popis: |
The classical Black-Scholes equation driven by Brownian motion has no memory, therefore it is proper to replace the Brownian motion with fractional Brownian motion (FBM) which has long-memory due to the presence of the Hurst exponent. In this paper, the option pricing equation modeled by fractional Brownian motion is obtained. It is further reduced to a one-dimensional heat equation using Fourier transform and then a solution is obtained by applying the convolution theorem. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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