Option pricing of fractional version of the Black-Scholes model with Hurst exponent H being in (1/3, 1/2 )

Chaos, solitons and fractals

Volumn 12, Issue 3, 2001, Pages 599-608

  Wang, Xiao Tian ^a   Qiu, Wei Yuan ^a   Ren, Fu Yao ^a  

^a FUDAN UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOVEMENT; INTEGRATION; MATHEMATICAL MODELS; THEOREM PROVING;

BLACK -SCHOLES MODEL; OPTION PRICING;

COSTS;

EID: 0035157684     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0960-0779(00)00028-X     Document Type: Article

References (20)

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