2 research outputs found

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

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    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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