Mixed fractional Brownian motion

被引：228

作者：

Cheridito, P ^{[1
]}

机构：

[1] ETH Zentrum, Dept Math, CH-8092 Zurich, Switzerland

来源：

BERNOULLI | 2001年 / 7卷 / 06期

关键词：

equivalent measures; mixed fractional Brownian motion; semimartingale; weak semimartingale;

D O I：

10.2307/3318626

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We show that the sum of a Brownian motion and a non-trivial multiple of an independent fractional Brownian motion with Hurst parameter H is an element of (0, 1] is not a semimartingale if H is an element of (0, 1/2) boolean OR (1/2, 3/4], that it is equivalent to a multiple of Brownian motion if H = 1/2 and equivalent to Brownian motion if H is an element of (3/4, 1]. As an application we discuss the price of a European call option on an asset driven by a linear combination of a Brownian motion and an independent fractional Brownian motion.

引用

页码：913 / 934

页数：22

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