Abstract
The multiscale fractional Brownian motion provides an example of process with long memory which is arbitrage free. After having recalled the definition of the long memory and the notion of arbitrage free price process, we derive the price of European options. This one is the Black-Scholes price using the high-frequency volatility parameter. This shows that the presence or absence of long memory is not a relevant question for pricing European options. © 2005 Springer-Verlag London Limited.
Cite
CITATION STYLE
Bertrand, P. (2005). Financial modelling by multiscale fractional Brownian motion. In Fractals in Engineering: New Trends in Theory and Applications (pp. 181–196). Springer London. https://doi.org/10.1007/1-84628-048-6_12
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