Option pricing of a mixed fractional-fractional version of the Black-Scholes model
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Publication:1766666
DOI10.1016/J.CHAOS.2003.12.037zbMath1129.91325OpenAlexW1971453423MaRDI QIDQ1766666
Fu-Yao Ren, Wei-Yuan Qiu, Jian-hong Chen
Publication date: 8 March 2005
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2003.12.037
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- A proof for French's empirical formula on option pricing.
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- On the law of the iterated logarithm for Gaussian processes
- Long-Term Memory in Stock Market Prices
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