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Equity-linked securities option pricing by fractional Brownian motion
12 references·0 citing·45 second hop
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 2015Rational Theory of Warrant Pricing534 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2010Pricing currency options in a fractional Brownian motion with jumps77 cited
  • 1990An analysis of market-index certificates of deposit70 cited
  • 2013Generalized Hurst exponent approach to efficiency in MENA markets69 cited
  • 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps33 cited
  • 1993The Banker's Guide to Equity-Linked Certificates of Deposit33 cited
  • 2020Pricing geometric Asian rainbow options under the mixed fractional Brownian motion27 cited

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