Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence

We study the estimation of volatility using the Fractional Brownian Motion (FBM) to model asset returns. Then, we price some European options using a Black-Scho

In this paper it is developed a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brown