• Title of article

    Option pricing of fractional version of the Black–Scholes model with Hurst exponent H being in

  • Author/Authors

    Xiaotian Wang، نويسنده , , Fu-Yao Ren، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2001
  • Pages
    10
  • From page
    599
  • To page
    608
  • Abstract
    A model for option pricing of fractional version of the Black–Scholes model with Hurst exponent H being in is established. To do this, the stochastic integration with respect to the fractional Brownian motion BH with Hurst parameter is defined.
  • Journal title
    Chaos, Solitons and Fractals
  • Serial Year
    2001
  • Journal title
    Chaos, Solitons and Fractals
  • Record number

    899564

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=899564