AbstractThe aim of this paper is to provide a semimartingale approximation of a fractional stochastic integration. This result leads us to approximate the fractional Black–Scholes model by a model driven by semimartingales, and a European option pricing formula is found
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
AbstractWe provide a characterization of the Gaussian processes with stationary increments that can ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Fractional Brownian motion (FBM) with Hurst index 1/2 < H < 1 is not a semimartingale. Consequ...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Traditional financial modeling is based on semimartingale processes with stationary and independent ...
This research aims to investigate a model for pricing of currency options in which value governed by...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
Abstract: We provide a characterization of the Gaussian processes with stationary increments that ca...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
AbstractWe provide a characterization of the Gaussian processes with stationary increments that can ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
Abstract: Problem statement: We presented option pricing when the stock prices follows a jump-diffus...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Fractional Brownian motion (FBM) with Hurst index 1/2 < H < 1 is not a semimartingale. Consequ...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
Traditional financial modeling is based on semimartingale processes with stationary and independent ...
This research aims to investigate a model for pricing of currency options in which value governed by...
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility ...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
Option pricing is an active area in financial industry. The value of option pricing is usually obta...
Abstract: We provide a characterization of the Gaussian processes with stationary increments that ca...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
AbstractWe provide a characterization of the Gaussian processes with stationary increments that can ...
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