'Hunger Games' actress Jena Malone and Bella Heathcote ('Beneath Hill 60') have also been cast for the movie, reported Deadline.
Refn wrote the script with Mary Laws. Production will start on March 30.
Previously, it was reported that Fanning would play an "aspiring model, who is caught in a world of beauty and demise".
Refn's previous films include 'Drive' and disturbing revenge drama 'Only God Forgives'.