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Option Pricing in Fractional Brownian Markets

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2001Mixed Fractional Brownian Motion387 cited

Cited by

2020Geometric fractional Brownian motion model for commodity market simulation39 cited
2017Mixed fractional Heston model and the pricing of American options36 cited
2014Fractional Order Stochastic Differential Equation with Application in European Option Pricing35 cited
2013A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options34 cited
2020Study of memory effect in an inventory model for deteriorating items with partial backlogging29 cited
2016Arbitrage with fractional Gaussian processes28 cited
2011The valuation of equity warrants in a fractional Brownian environment27 cited

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