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 12 items.
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Nonparametric estimation of fractional option pricing model (Q826418) (← 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)
- Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market (Q2098668) (← links)
- Fractional Lévy stable motion: finite difference iterative forecasting model (Q2120387) (← links)
- Local and implied volatilities with the mixed-modified-fractional-Dupire model (Q2169607) (← links)
- Fractional Brownian motion: difference iterative forecasting models (Q2213636) (← links)
- A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds (Q2309261) (← links)
- Fractional order stochastic differential equation with application in European option pricing (Q2321458) (← links)
- Time-varying long-range dependence in US interest rates (Q2468080) (← links)
- Generalized Cauchy process based on heavy-tailed distribution and grey relational analysis for reliability predicting of distribution systems (Q2686800) (← links)