A proof for French's empirical formula on option pricing

Chaos, Solitons and Fractals

Volumn 12, Issue 13, 2001, Pages 2441-2453

  Ren, Fu Yao ^a   Wang, Xiao Tian ^a   Liang, Jin Rong ^b  

^a FUDAN UNIVERSITY   (China)

^b EAST CHINA NORMAL UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

INVENTORY CONTROL; MATHEMATICAL MODELS; THEOREM PROVING;

BLACK-SCHOLES MODEL; HURST EXPONENT;

FRACTALS;

EID: 0035480485     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0960-0779(00)00211-3     Document Type: Article

References (17)

1. The behavior of stock market prices
2. Stock returns and the weekend effect
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4. Weekend effects of stock returns: A note
5. The weekend effect on the distribution of stock prices: Implications for option pricing
6. The pricing of options and corporate liabilities
7. Why do we smile? On the determinants of the implied volatility function
8. The variation of certain speculative price
9. Fractal geometry of financial time series
10. Large deviation and self-similarity analysis of curves: DAX stock price
11. Self-similarity of high-frequency USD-DEN exchange rates
12. Short and long-run dependence in Swedish stock returns
13. Fractal market hypothesis and two power-laws