Option pricing of a mixed fractional-fractional version of the Black-Scholes model

DOI10.1016/J.CHAOS.2003.12.037zbMath1129.91325OpenAlexW1971453423MaRDI QIDQ1766666

Fu-Yao Ren, Wei-Yuan Qiu, Jian-hong Chen

Publication date: 8 March 2005

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2003.12.037

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A proof for French's empirical formula on option pricing.
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• On the law of the iterated logarithm for Gaussian processes
• Long-Term Memory in Stock Market Prices
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