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Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model
16 references·6 citing·48 second hop
Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model (2009)Scaling and long-range dependence in opti…Time-varying Hurst exponent for US stock markets (2008)Time-varying Hurst exponent f…Long-range dependence and multifractality in the term structure of LIBOR interest rates (2006)Long-range dependence and mul…IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)IMPLEMENTING ARROW-DEBREU EQU…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Stock market prices and long-range dependence (1999)Stock market prices and long-…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…The Economics of Uncertainty and Information. 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this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Availability: A heuristic for judging frequency and probability9,980 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
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111 cited
  • 1987The analysis of finite security markets using martingales64 cited
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    • 2016A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion42 cited
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    • 2016Arbitrage with fractional Gaussian processes28 cited
    • 2020Pricing geometric Asian rainbow options under the mixed fractional Brownian motion27 cited
    • 2011The valuation of equity warrants in a fractional Brownian environment27 cited
    • 2024Pricing Asian options under the mixed fractional Brownian motion with jumps24 cited