Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (Q979157): Difference between revisions
From MaRDI portal
Latest revision as of 22:34, 2 July 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 \([\frac{1}{2}, 1]\) |
scientific article |
Statements
Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (English)
0 references
25 June 2010
0 references
fractional Brownian motion
0 references
fractional derivatives
0 references
Taylor series of fractional order
0 references
0 references
