Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (Q979157)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
scientific article

    Statements

    Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\) (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    25 June 2010
    0 references
    fractional Brownian motion
    0 references
    fractional derivatives
    0 references
    Taylor series of fractional order
    0 references

    Identifiers