An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black–Scholes model
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Publication:3119666
DOI10.3233/RDA-180137zbMath1409.91238MaRDI QIDQ3119666
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
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