Add to ORKGAbstract: The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for the valuation of derivative products in the fractional Black-Scholes market. We also obtain a reflection principle for the fractional Brownian motion
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...
We focus on a preference based approach when pricing options in a market driven by fractional Browni...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
Abstract: The aim of this paper is to develop a framework for evaluating derivatives if the underlyi...
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...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
This research aims to investigate a model for pricing of currency options in which value governed by...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The aim of this paper is to obtain the valuation formulas for European and barrier options if the un...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
We consider the pricing of European options under a modified Black-Scholes equation having fractiona...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
In this work, we have derived an approximate solution of the fractional Black-Scholes models using a...
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...
We focus on a preference based approach when pricing options in a market driven by fractional Browni...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
Abstract: The aim of this paper is to develop a framework for evaluating derivatives if the underlyi...
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...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
This research aims to investigate a model for pricing of currency options in which value governed by...
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probabi...
This work deals with European option pricing problem in fractional Brownian markets. Two factors, st...
The aim of this paper is to obtain the valuation formulas for European and barrier options if the un...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
We consider the pricing of European options under a modified Black-Scholes equation having fractiona...
The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Browni...
In this work, we have derived an approximate solution of the fractional Black-Scholes models using a...
AbstractA model for option pricing of a (γ,2H)-fractional Black–Merton–Scholes equation driven by th...
We focus on a preference based approach when pricing options in a market driven by fractional Browni...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...