@article {STMAZ.02108991,
    author       = {Mishura, Yuliya},
    title        = {Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility.},
    year         = {2004},
    journal      = {Stochastics and Stochastics Reports},
    volume       = {76},
    number       = {4},
    issn         = {1045-1129},
    pages        = {363-381},
    publisher    = {Taylor \& Francis, London},
    doi          = {10.1080/10451120410001710138},
    abstract     = {Author's abstract: We modify the Hu-\O ksendal and Elliot-van der Hoek approach to arbitrage-free financial market driven by a fractional Brownian motion that is defined on a white noise space. We deduce and solve a Black-Scholes fractional equation for constant volatility and outline the corresponding equation with stochastic volatility. As an auxiliary result we produce some simple conditions implying the existence of the Wick integral w.r.t. fractional noise.},
    reviewer     = {Yuliya S. Mishura (Ky{\"\i}v)},
    msc2010      = {60G15 (60H30 91B28)},
    identifier   = {1052.60029},
}