Fractional Brownian Motion and Application in Mathematical Finance

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Sabzikar, Farzad | 2009

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 39120 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Zohuri Zangeneh, Bijan; Farhadi, Hamid Reza
Abstract:
Farctional Brownian motion (fBm) is a Gaussian Stochastic process B={B_t ∶t ≥0} With zero mean and Covariance function given by RH (t,s)=1/2 (t^2H+ S^2H-├|t-├ s┤|┤ 〖^2H〗) Where 0
Keywords:
Fractional Brownian Motion ; Fractional Integration ; Fractional Black-Scholes Model ; Wick-Ito-Skorohod Integral

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