An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black–Scholes model

DOI10.3233/RDA-180137zbMath1409.91238MaRDI QIDQ3119666

Soňa Kilianová, Boris Letko

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-180137

zbMATH Keywords

fractional Brownian motion; Hurst exponent; call option; fractional Black-Scholes model

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

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

91-04: Software, source code, etc. for problems pertaining to game theory, economics, and finance

Uses Software

• R