Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (Q979157): Difference between revisions
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Revision as of 19:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) |
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Statements
Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (English)
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25 June 2010
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fractional Brownian motion
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fractional derivatives
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Taylor series of fractional order
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