Pages that link to "Item:Q1766666"
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The following pages link to Option pricing of a mixed fractional-fractional version of the Black-Scholes model (Q1766666):
Displaying 8 items.
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Nonparametric estimation of fractional option pricing model (Q826418) (← links)
- Interest rate option pricing and volatility forecasting: an application to Brazil (Q953623) (← links)
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (Q2139665) (← links)
- Fractional order stochastic differential equation with application in European option pricing (Q2321458) (← links)
- Time-varying long-range dependence in US interest rates (Q2468080) (← links)
