%0 Journal Article
%T Solving Black-Schole Equation Using Standard Fractional Brownian Motion | Njamen Njomen | Journal of Mathematics Research | CCSE
%J Home | Journal of Mathematics Research | CCSE
%D 2019
%R 10.5539/jmr.v11n2p142
%X In this paper, we emphasize the Black-Scholes equation using standard fractional Brownian motion BHwith the hurst index H ¡Ê [0,1]. N. Ciprian (Necula, C. (2002)) and Bright and Angela (Bright, O., Angela, I., & Chukwunezu (2014)) get the same formula for the evaluation of a Call and Put of a fractional European with the different approaches. We propose a formula by adapting the non-fractional Black-Scholes model using a ¦ËHfactor to evaluate the european option. The price of the option at time t ¡Ê]0,T[ depends on ¦ËH(T £¿ t), and the cost of the action St, but not only from t £¿ T as in the classical model. At the end, we propose the formula giving the implied volatility of sensitivities of the option and indicators of the financial market
%U http://www.ccsenet.org/journal/index.php/jmr/article/view/0/38905