Pricing Formulas of Compound Options under the Fractional Brownian Motion.
Chao ZhangJizhou ZhangDongya TaoPublished in: NL-MUA (2011)
Keyphrases
- fractional brownian motion
- financial markets
- option pricing
- long range
- black scholes model
- non stationary
- stock price
- double exponential
- long range dependence
- fractal dimension
- stock market
- random fields
- risk management
- stochastic differential equations
- similarity measure
- news articles
- mathematical model
- text classification
- feature selection