In this work we propose a Merton-like system of economic-financial assumptions on the dynamical behaviour of financial asset price by which it is possible to deduce the consistency between the fractional Brownian (fB) motion and the discrete-time trading. Moreover, we also prove the "convergence" of the fB motion to the standard Brownian one when the discrete-time trading tends to the continuous-time one.
Merton-like theoretical frame for fractional Brownian motion in finance
CORAZZA, Marco
1999-01-01
Abstract
In this work we propose a Merton-like system of economic-financial assumptions on the dynamical behaviour of financial asset price by which it is possible to deduce the consistency between the fractional Brownian (fB) motion and the discrete-time trading. Moreover, we also prove the "convergence" of the fB motion to the standard Brownian one when the discrete-time trading tends to the continuous-time one.
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