N-Fold Compound Option Fuzzy Pricing Based on the Fractional Brownian Motion.

Pingping Zhao Tong Wang Kaili Xiang Peimin Chen

Published in: Int. J. Fuzzy Syst. (2022)

Keyphrases

fractional brownian motion
financial markets
long range
non stationary
option pricing
black scholes model
long range dependence
fuzzy sets
fractal dimension
random fields
risk management
feature selection
pairwise
distance measure