Open AccessOption Pricing in a Fractional Brownian Motion Environment
Author(s) -
Ciprian Necula
Publication year - 2002
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1286833
Subject(s) - fractional brownian motion , brownian motion , statistical physics , economics , business , mathematics , physics , statistics
The purpose of this paper is to obtain a fractional Black-Scholes formula for
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