Pages that link to "Item:Q1766666"

The following pages link to Option pricing of a mixed fractional-fractional version of the Black-Scholes model (Q1766666):

Displaying 21 items.

• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
• Nonparametric estimation of fractional option pricing model (Q826418) (← links)
• Interest rate option pricing and volatility forecasting: an application to Brazil (Q953623) (← links)
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (Q979157) (← links)
• Mixed fractional Heston model and the pricing of American options (Q1675943) (← links)
• Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
• Fractional Black-Scholes model and technical analysis of stock price (Q1790043) (← links)
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\). (Q1868540) (← links)
• Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility (Q1959131) (← links)
• Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665) (← links)
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation (Q2260533) (← links)
• The fractional and mixed-fractional CEV model (Q2315921) (← links)
• Fractional order stochastic differential equation with application in European option pricing (Q2321458) (← links)
• Time-varying long-range dependence in US interest rates (Q2468080) (← links)
• An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black–Scholes model (Q3119666) (← links)
• (Q3455963) (← links)
• (Q4585259) (← links)
• (Q5143847) (← links)
• Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs (Q5193257) (← links)
• Pricing Options Under Time-Fractional Model Using Adomian Decomposition (Q6165078) (← links)