Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).

DOI10.1016/S0960-0779(00)00028-XzbMath1041.91038OpenAlexW2087458835MaRDI QIDQ1868540

Xiao-Tian Wang, Wei-Yuan Qiu, Fu-Yao Ren

Publication date: 28 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0960-0779(00)00028-x

zbMATH Keywords

Hurst exponentOption pricingfractional version of Black-Scholes model

Mathematics Subject Classification ID

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

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