Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
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Publication:979157
DOI10.1016/j.aml.2010.03.022zbMath1189.91210OpenAlexW2092580182MaRDI 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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- Fractional integral associated to the self-similar set or the generalized self-similar set and its physical interpretation
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