From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment


In this paper, we present the fundamental framework of the evaluation problem under which the evaluation operator satisfying some axioms is linear. Based on the dynamic linear evaluation mechanism of contingent claims, studying this evaluation rule in the market driven by fractional Brownian motions has led to a dynamic capital asset pricing model. It is deduced here mainly with the fractional Girsanov theorem and the Clark-Haussmann-Ocone theorem.

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Q. Zhou and C. Li, "From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment," Journal of Mathematical Finance, Vol. 2 No. 4, 2012, pp. 315-320. doi: 10.4236/jmf.2012.24034.

Conflicts of Interest

The authors declare no conflicts of interest.


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