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Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations
16 references·0 citing·43 second hop
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References

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  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
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  • 2003Long-range correlations and nonstationarity in the Brazilian stock market130 cited
  • 2008Option Pricing in a Fractional Brownian Motion Environment

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