Title: Option pricing of fractional version of the Black–Scholes model with Hurst exponent H being in ☆
Abstract: A model for option pricing of fractional version of the Black–Scholes model with Hurst exponent H being in (13,12) is established. To do this, the stochastic integration with respect to the fractional Brownian motion BH with Hurst parameter H∈(0,12) is defined.
Publication Year: 2001
Publication Date: 2001-01-03
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 29
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