Elliott, R. and Hoek, J. (2003) A General Fractional White Noise Theory and Applications to Finance. Mathematical Finance, 13, 301-330. - References

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Elliott, R. and Hoek, J. (2003) A General Fractional White Noise Theory and Applications to Finance. Mathematical Finance, 13, 301-330.
http://dx.doi.org/10.1111/1467-9965.00018

has been cited by the following article:

TITLE: Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate

AUTHORS: Jin Li, Kaili Xiang, Chuanyi Luo

KEYWORDS: Stochastic Rate, Fractional Jump-Diffusion Process, Fractional Brown Motion, Power Option

JOURNAL NAME: Applied Mathematics, Vol.5 No.16, August 29, 2014

ABSTRACT: In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.