Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
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Publication:1868540
DOI10.1016/S0960-0779(00)00028-XzbMath1041.91038OpenAlexW2087458835MaRDI QIDQ1868540
Xiao-Tian Wang, Wei-Yuan Qiu, Fu-Yao Ren
Publication date: 28 April 2003
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0960-0779(00)00028-x
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