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
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
Journal title :
Chaos, Solitons and Fractals
