Title of article
A proof for Frenchʹs empirical formula on option pricing
Author/Authors
Fu-Yao Ren، نويسنده , , Jin-Rong Liang، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2001
Pages
13
From page
2441
To page
2453
Abstract
A fractional version of Black–Scholes model with Hurst exponent H varying in is established. Especially, Frenchʹs empirical formula on option pricing is proved. The relation between Hurst exponent H and the risk is discussed.
Journal title
Chaos, Solitons and Fractals
Serial Year
2001
Journal title
Chaos, Solitons and Fractals
Record number
899734
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