| Article ID: | iaor20084676 |
| Country: | United States |
| Volume: | 2006 |
| Issue: | 32435 |
| Start Page Number: | 1 |
| End Page Number: | 9 |
| Publication Date: | Jan 2006 |
| Journal: | Journal of Applied Mathematics and Stochastic Analysis |
| Authors: | Zili Mounir |
| Keywords: | finance & banking |
The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the α-differentiability of its sample paths.