id: 02108991
dt: j
an: 1052.60029
au: Mishura, Yuliya
ti: Fractional stochastic integration and Black-Scholes equation for fractional
    Brownian model with stochastic volatility.
so: Stochastics Stochastics Rep. 76, No. 4, 363-381 (2004).
py: 2004
pu: Taylor \& Francis, London
la: EN
cc: 60G15 60H30 91B28
ut: fractional Brownian financial market; Wick integration
ci: 
li: doi:10.1080/10451120410001710138
ab: Author’s abstract: We modify the Hu-Øksendal 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.
rv: Yuliya S. Mishura (Kyïv)