Asset Pricing Model Based on Fractional Brownian Motion
This paper introduces one unique price motion process with fractional Brownian motion. We introduce the imaginary number into the agent’s subjective probability for the reason of convergence; further, the result similar to Ito Lemma is proved. As an application, this result is applied to Merton’s dy...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-02-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/6/2/99 |