𝔖 Bobbio Scriptorium
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On biases reported in studies of the black-scholes option pricing model

✍ Scribed by Jerry A. Hammer

Book ID
116096053
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
863 KB
Volume
41
Category
Article
ISSN
0148-6195

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A model for option pricing of a (γ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H ∈ (0, 1), is established. We obtain the explicit option pricing formulas for the Europe