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

@@ Property / DOI @@
-.1016/j.chaos.2003.12.037
@@ Property / DOI: 10.1016/j.chaos.2003.12.037 / rank @@
-Normal rank
@@ Property / author @@
-Jian-hong Chen
@@ Property / author: Jian-hong Chen / rank @@
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@@ Property / author @@
-Wei-Yuan Qiu
@@ Property / author: Wei-Yuan Qiu / rank @@
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@@ Property / author @@
+Jian-hong Chen
@@ Property / author: Jian-hong Chen / rank @@
+Normal rank
@@ Property / author @@
+Wei-Yuan Qiu
@@ Property / author: Wei-Yuan Qiu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.chaos.2003.12.037
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@@ Property / OpenAlex ID @@
+W1971453423
@@ Property / OpenAlex ID: W1971453423 / rank @@
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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 @@
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Q4848525
@@ Property / cites work: Q4848525 / rank @@
+Normal rank
@@ Property / cites work @@
+A proof for French's empirical formula on option pricing.
+Normal rank
@@ Property / cites work @@
+Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
+Normal rank
@@ Property / cites work @@
+Q4802414
@@ Property / cites work: Q4802414 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3149666
@@ Property / cites work: Q3149666 / rank @@
+Normal rank
@@ Property / cites work @@
+On the law of the iterated logarithm for Gaussian processes
+Normal rank
@@ Property / DOI @@
+.1016/J.CHAOS.2003.12.037
@@ Property / DOI: 10.1016/J.CHAOS.2003.12.037 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1766666