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Testing the black-scholes option pricing model: A shortcut

✍ Scribed by Ladd Kochman; Ross Daniel


Book ID
112728935
Publisher
Springer US
Year
1983
Tongue
English
Weight
85 KB
Volume
11
Category
Article
ISSN
0197-4254

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✍ Jin-Rong Liang; Jun Wang; Wen-Jun Zhang; Wei-Yuan Qiu; Fu-Yao Ren πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 247 KB

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