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Fuzzy simulation of European option pricing using sub-fractional Brownian motion
8 references·3 citing·37 second hop
Fuzzy simulation of European option pricing using sub-fractional Brownian motion (2021)Fuzzy simulation of European option prici…Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Use and misuse of some Hurst …Some properties of the sub-fractional Brownian motion (2006)Some properties of the sub-fr…A series expansion of fractional Brownian motion (2004)A series expansion of fractio…Fuzzy sets (1996)Fuzzy setsOption pricing: A simplified approach (1979)Option pricing: A simplified …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fuzzy sets (1965)Fuzzy setsSub mixed fractional Brownian motion and its application to finance (2024)Sub mixed fractional Brownian…Macroeconomic shocks, market uncertainty and speculative bubbles: a decomposition-based predictive model of Indian stock markets (2024)Macroeconomic shocks, market …Integrating Navier-Stokes equation and neoteric iForest-BorutaShap-Facebook’s prophet framework for stock market prediction: An application in Indian context (2022)Integrating Navier-Stokes equ…Fractional Brownian Motions, Fractional Noises and Applications (1968)Integration with respect to fractal functions and stochastic calculus. I (1998)Mixed Fractional Brownian Motion (2001)On the Wiener integral with respect to a sub-fractional Brownian motion on an interval (2008)On the collision local time of sub-fractional Brownian motions (2009)Parametric estimation for sub-fractional Ornstein–Uhlenbeck process (2012)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Commodity predictability analysis with a permutation information theory approach (2010)Visibility graph network analysis of gold price time series (2013)MFDFA: Efficient multifractal detrended fluctuation analysis in python (2021)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The relationship between return and market value of common stocks (1981)Dividend yields and expected stock returns (1988)The Cross-Section of Expected Stock Returns (1992)Clean energy stock price forecasting and response to macroeconomic variables: A novel framework using Facebook's Prophet, NeuralProphet and explainable AI (2023)MFB: A Generalized Multimodal Fusion Approach for Bitcoin Price Prediction Using Time-Lagged Sentiment and Indicator Features (2024)The relationship between earnings' yield, market value and return for NYSE common stocks (1983)Persuasive evidence of market inefficiency (1985)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Extensions of the TOPSIS for group decision-making under fuzzy environment (2000)Science mapping software tools: Review, analysis, and cooperative study among tools (2011)Set-Theoretic Methods for the Social Sciences (2012)Family resemblances: Studies in the internal structure of categories (1975)Basic objects in natural categories (1976)Soft set theory—First results (1999)The stochastic wave equation with fractional noise: A random field approach (2010)
this work references cited by second hop

References

  • 1965Fuzzy sets68,735 cited
  • 1996Fuzzy sets46,960 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2004A series expansion of fractional Brownian motion159 cited
  • 2010Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series132 cited
  • 2006Some properties of the sub-fractional Brownian motion128 cited

Cited by

  • 2022Integrating Navier-Stokes equation and neoteric iForest-BorutaShap-Facebook’s prophet framework for stock market prediction: An application in Indian context35 cited
  • 2024Macroeconomic shocks, market uncertainty and speculative bubbles: a decomposition-based predictive model of Indian stock markets24 cited
  • 2024Sub mixed fractional Brownian motion and its application to finance17 cited

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