Abstract
We modify the Hu-Øksendal and Elliot-van der Hoek approach to arbitrage-free financial markets driven by a fractional Brownian motion that is defined on a white noise space. We deduce and solve a Black–Scholes fractional equation for constant volatility and outline the corresponding equation with stochastic volatility. As an auxiliary result, we produce some simple conditions implying the existence of the Wick integral w.r.t. fractional noise.
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