Equity warrants pricing model under Fractional Brownian motion and an empirical study
Author:
Publisher
Elsevier BV
Subject
Artificial Intelligence,Computer Science Applications,General Engineering
Reference36 articles.
1. Hamiltonian and potentials in derivative pricing models: Exact results and lattice simulations;Baaquiea;Physica A,2004
2. Estimating the fractal dimension of the S&P 500 index using wavelet analysis;Bayraktar;International Journal of Theoretical and Applied Finance,2004
3. A dynamic programming approach to price installment options;Ben-Ameur;European Journal of Operational Research,2006
4. Stochastic equity volatility related to the leverage effect;Bensoussan;Applied Mathematical Finance,1994
5. Short and long-run dependence in Swedish stock returns;Berg;Applied Financial Economics,1998
Cited by 25 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. An Efficient Numerical Scheme for a Time-Fractional Black–Scholes Partial Differential Equation Derived from the Fractal Market Hypothesis;Fractal and Fractional;2024-08-06
2. A Robust Numerical Simulation of a Fractional Black–Scholes Equation for Pricing American Options;Journal of Nonlinear Mathematical Physics;2024-06-20
3. Lie Symmetries and the Invariant Solutions of the Fractional Black–Scholes Equation under Time-Dependent Parameters;Fractal and Fractional;2024-04-29
4. Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations;Modern Stochastics: Theory and Applications;2023-12-05
5. A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation;Computational Economics;2023-09-17
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3