Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility

DOI10.4064/ba61-2-12zbMath1314.91211OpenAlexW2083489815MaRDI QIDQ2866791

Adrian Falkowski

Publication date: 16 December 2013

Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/ba61-2-12

zbMATH Keywords

option pricingGirsanov theoremtime-dependent volatilityfractional Black-Scholes model

Mathematics Subject Classification ID

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