Title of article
A fractional version of the Merton model
Author/Authors
Xiaotian Wang، نويسنده , , Xiang-Qian Liang، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2003
Pages
9
From page
455
To page
463
Abstract
A model for option pricing of fractional version of the Merton model with `Hurst exponentʹ H being in is established. The relation between Hurst exponent H and long-range dependence is discussed.
Journal title
Chaos, Solitons and Fractals
Serial Year
2003
Journal title
Chaos, Solitons and Fractals
Record number
900172
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