Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (Q979157)
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scientific article; zbMATH DE number 5726670
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| English | Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) |
scientific article; zbMATH DE number 5726670 |
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Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (English)
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25 June 2010
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fractional Brownian motion
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fractional derivatives
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Taylor series of fractional order
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0.927217662334442
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0.90248703956604
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0.8874621391296387
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0.8658419847488403
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