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
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
Journal title :
Chaos, Solitons and Fractals
