Home
Recent Issues
Volume 52	1	2	3	4
Volume 51	1	2	3	4
Volume 50	1	2	3	4
Volume 49	1	2	3	4
Volume 48	1	2	3	4
Past Issues
The Journal
Cover
Aims and Scope
Subscription Information
Editorial Board
Instructions for Author
Contact Us

Vietnam Journal of Mathematics 35:3(2007) 231-245

 A Fractional Black-Scholes Model with Jumps

P. Sattayatham, A. Intarasit, and A. P. Chaiyasena

Abstract.  In this paper, we introduce an approximate approach to a fractional Black-Scholes model with jumps perturbed by fractional noise. Based on a fundamental result on the L²-approximation of this noise by semimartingales, we prove a convergence theorem concerning an approximate solution. A simulation example shows a signigicant reduction of error in a fractional jump model as compared to the classical jump model.

2000 Mathematics Subject Classification: 91B28, 65C50.

Keywords: Black-Scholes, approximate models.

Established by Vietnam Academy of Science and Technology & Vietnam Mathematical Society

Published by Springer since January 2013