An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Soňa Kilianová, Boris Letko
| Year of publication: |
2018
|
|---|---|
| Authors: | Kilianová, Soňa ; Letko, Boris |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 51-62
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| Subject: | Call option | fractional Black-Scholes model | fractional Brownian motion | Hurst exponent | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Derivat | Derivative | Volatilität | Volatility |