A fractional version of the Merton model.
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Publication:1419131
DOI10.1016/S0960-0779(02)00109-1zbMath1071.91024MaRDI QIDQ1419131
Xiang-Qian Liang, Xiao-Tian Wang, Fu-Yao Ren
Publication date: 14 January 2004
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Stock market prices and long-range dependence
- Criticality and punctuated equilibrium in a spin system model of a financial market
- A proof for French's empirical formula on option pricing.
- FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
- Long-Term Memory in Stock Market Prices
- Option pricing when underlying stock returns are discontinuous
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