Volatility Estimation and Option Pricing with Fractional Brownian Motion

Author:

Cajueiro Daniel O.,Fajardo José

Publisher

Elsevier BV

Reference42 articles.

1. Fractal characterization of the distribution of reactive sites over a rough catalyst surface;R F S Andrade;Physica A,2001

2. Annales Scientifiques de l' � Ecole Normale Sup�rieure, III-17:21-86. Thesis for the Doctorate in Mathematical Science;L Bachelier;Reprinted by�ditionsby�by�ditions Jacques Gabay,1900

3. Fractal Concepts in Surface Growth

4. The pricing of options and corporate liabilities;F Black;Journal of Political Economy,1973

5. Distribution of residual autocorrelations in autoregressive-integrated moving average time Series Models;G Box;Journal of the American Statistical Society,1973

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