Fractional Brownian Motion

Option Pricing in a Fractional Brownian Motion Environment

The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2 < H < 1.