Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Changhong Guo, Shaomei Fang, Yong He
| Year of publication: |
2023
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| Authors: | Guo, Changhong ; Fang, Shaomei ; He, Yong |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 4, p. 1681-1705
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| Subject: | European option pricing | Fractional Black-Scholes equation | Fractional G-Brownian motion | Taylor's series of fractional order | Uncertain volatility | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10263-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327122