• Title of article

    Option pricing of a mixed fractional–fractional version of the Black–Scholes model

  • Author/Authors

    Jian-Hong Chen، نويسنده , , Wei-Yuan Qiu، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2004
  • Pages
    12
  • From page
    1163
  • To page
    1174
  • Abstract
    A mixed fractional–fractional version of Black–Scholes model with Hurst exponents varying in (0,1) is established, and the corresponding Itôʹs formula is obtained. The option pricing formulas with Hurst exponents being in are derived.
  • Journal title
    Chaos, Solitons and Fractals
  • Serial Year
    2004
  • Journal title
    Chaos, Solitons and Fractals
  • Record number

    900917

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=900917