A proof for French's empirical formula on option pricing.

DOI10.1016/S0960-0779(00)00211-3zbMath1050.91049OpenAlexW2010004170MaRDI QIDQ1600457

Jin-Rong Liang, Xiao-Tian Wang, Fu-Yao Ren

Publication date: 13 June 2002

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0960-0779(00)00211-3

zbMATH Keywords

Black-Scholes formulafinancial mathematicscalendar timetrading time

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Nonparametric estimation of fractional option pricing model ⋮ Local and implied volatilities with the mixed-modified-fractional-Dupire model ⋮ A fractional version of the Merton model. ⋮ Option pricing of a mixed fractional-fractional version of the Black-Scholes model ⋮ Fractional order stochastic differential equation with application in European option pricing

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Fractal market hypothesis and two power-laws
• Large deviation and self-similarity analysis of graphs: DAX stock prices
• FRACTAL GEOMETRY OF FINANCIAL TIME SERIES

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