Pages that link to "Item:Q1868540"
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The following pages link to Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\). (Q1868540):
Displayed 4 items.
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Interest rate option pricing and volatility forecasting: an application to Brazil (Q953623) (← links)
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model (Q1766666) (← links)
- Time-varying long-range dependence in US interest rates (Q2468080) (← links)
