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Weighted Local Time for Fractional Brownian Motion and Applications to Finance.

Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
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pm13-01.pdf (268.0Kb)
Year
2001
Permanent link
http://urn.nb.no/URN:NBN:no-24283

Is part of
Preprint series. Pure mathematics
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Appears in the following Collection
  • Matematisk institutt [1973]
Abstract
A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in a fractional Black-Scholes market. As a consequence, we obtain a fractional version of the Carr-Jarrow decomposition of the European call and put option prices into their intrinsic and time values.
 
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