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Fractional Order Stochastic Differential Equation with Application in European Option Pricing
13 references·1 citing·43 second hop
Fractional Order Stochastic Differential Equation with Application in European Option Pricing (2014)Fractional Order Stochastic Differential …The Effects of Prior Outcomes on Risky Choice: Evidence from the Stock Market (2014)The Effects of Prior Outcomes…Investors’ Risk Preference Characteristics and Conditional Skewness (2014)Investors’ Risk Preference Ch…Skewness of return distribution and coefficient of risk premium (2009)Skewness of return distributi…Option Pricing in Fractional Brownian Markets (2009)Option Pricing in Fractional …A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET (2009)A COPULA-BASED CORRELATION ME…Option Pricing in a Fractional Brownian Motion Environment (2008)Option Pricing in a Fractiona…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…Ranking efficiency for emerging markets (2004)Ranking efficiency for emergi…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options (2021)Numerical pricing based on fr…The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Conditional Skewness in Asset Pricing Tests (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Cross‐Section of Volatility and Expected Returns (2006)Pricing catastrophe risk bonds: A mixed approximation method (2013)Multi-Scale Volatility Feature Analysis and Prediction of Gold Price (2016)Household debt and happiness: evidence from the China Household Finance Survey (2019)A search for long memory in international stock market returns (1995)Measuring capital market efficiency: Global and local correlations structure (2012)The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen? (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multi-scaling in finance (2007)Forbidden patterns, permutation entropy and stock market inefficiency (2009)Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Arbitrage with Fractional Brownian Motion (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)Pricing currency options in a fractional Brownian motion with jumps (2010)Pricing currency options in the mixed fractional Brownian motion (2013)Fractals and Scaling in Finance (1997)A General Fractional White Noise Theory And Applications To Finance (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Mixed Fractional Brownian Motion (2001)A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options (2013)Mixed fractional Heston model and the pricing of American options (2017)Geometric fractional Brownian motion model for commodity market simulation (2020)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
  • 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient411 cited
  • 2004Ranking efficiency for emerging markets209 cited
  • 2008Option Pricing in a Fractional Brownian Motion Environment120 cited
  • 2009Skewness of return distribution and coefficient of risk premium87 cited
  • 2009Option Pricing in Fractional Brownian Markets68 cited
  • 2009A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET54 cited
  • 2014Investors’ Risk Preference Characteristics and Conditional Skewness51 cited
  • 2014The Effects of Prior Outcomes on Risky Choice: Evidence from the Stock Market23 cited

Cited by

  • 2021Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options30 cited

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