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An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model.

Sona KilianováBoris Letko
Published in: Risk Decis. Anal. (2018)
Keyphrases
  • black scholes model
  • option pricing
  • hurst exponent
  • neural network
  • multi criteria
  • information extraction
  • sensitivity analysis
  • black scholes