scientific article; zbMATH DE number 6193735

zbMath1268.91177arXivmath/0702810MaRDI QIDQ5326965

Ngai Hang Chan, Chi Tim Ng

Publication date: 1 August 2013

Full work available at URL: https://arxiv.org/abs/math/0702810

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionwhite noiseWick calculusfractional Black-Scholes modelvolatility skewfractional constant elasticity of volatility modelfractional Itô's lemma

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) White noise theory (60H40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility ⋮ CEV model equipped with the long-memory ⋮ The fractional and mixed-fractional CEV model

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