Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
type: Item
instance of: scholarly article
title: Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
zbMATH Open document ID: 1195.91163
author: Li Meng
author: Mei Wang
published in: Asia-Pacific Financial Markets
publication date: 2010-10-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5796374
zbMATH Keywords: fractional Black-Scholes
zbMATH Keywords: volatility
zbMATH Keywords: AMSE
zbMATH Keywords: foreign exchange option
MaRDI profile type: Publication
full work available at URL: s10690-009-9102-8
OpenAlex ID: W2050128975
cites work: ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
cites work: Q5326965
cites work: Stochastic Calculus for Fractional Brownian Motion I. Theory
cites work: Q5461112
DOI: 10.1007/S10690-009-9102-8
description: scientific article; zbMATH DE number 5796374