Option pricing with regulated fractional
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Aldabe, F. ;Barone-Adesi, G. ;Elliott, R. J.
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Article
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1998
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John Wiley and Sons
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English
โ 101 KB
Standard and fractional Brownian motions are known to be unsatisfactory models of asset prices. A new class of continuous-time stochastic processes, RFBM, is proposed to remedy some of the shortcomings of current models. RFBM lead to valuation formulas similar to Black}Scholes, but with volatility i