Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

9 references·1 citing·36 second hop

FromToDepth

this work references cited by second hop

References

1963The Variation of Certain Speculative Prices4,851 cited
1997The variation of certain speculative prices4,468 cited
1983Foreign currency option values1,078 cited
2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
1967On the Distribution of Stock Price Differences529 cited
2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
1989Fractal Structure in the Capital Markets180 cited
2008Option Pricing in a Fractional Brownian Motion Environment120 cited
2007Volatility and the Carry Trade66 cited

Cited by

2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work