Option pricing of a mixed fractional-fractional version of the Black-Scholes model (Q1766666): Difference between revisions

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+https://doi.org/10.1016/j.chaos.2003.12.037
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+W1971453423
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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+Q4848525
@@ Property / cites work: Q4848525 / rank @@
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+A proof for French's empirical formula on option pricing.
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+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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+Q4802414
@@ Property / cites work: Q4802414 / rank @@
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+Q3149666
@@ Property / cites work: Q3149666 / rank @@
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+On the law of the iterated logarithm for Gaussian processes
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