Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)

DOI10.1016/j.aml.2010.03.022zbMath1189.91210MaRDI QIDQ979157

Jun Wang, Wen-Jun Zhang, Jin-Rong Liang, Fu-Yao Ren, Wei-Yuan Qiu

Publication date: 25 June 2010

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.03.022

zbMATH Keywords

fractional derivatives; fractional Brownian motion; Taylor series of fractional order

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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