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The Hurst exponent in energy futures prices

✍ Scribed by Apostolos Serletis; Aryeh Adam Rosenberg


Book ID
103882657
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
494 KB
Volume
380
Category
Article
ISSN
0378-4371

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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