Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility (Q1959131): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1007/s10690-009-9102-8 / rank | |||
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| Property / OpenAlex ID: W2050128975 / rank | |||
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| Property / cites work: ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC / rank | |||
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| Property / cites work: Q5326965 / rank | |||
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| Property / cites work: Stochastic Calculus for Fractional Brownian Motion I. Theory / rank | |||
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| Property / cites work: Q5461112 / rank | |||
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Latest revision as of 06:37, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility |
scientific article |
Statements
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility (English)
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6 October 2010
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fractional Black-Scholes
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volatility
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AMSE
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foreign exchange option
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