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Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

  • Li Meng
  • Mei Wang

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-009-9102-8
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 17 (2010)
    Issue (Month): 2 (June)
    Pages: 99-111

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    Handle: RePEc:kap:apfinm:v:17:y:2010:i:2:p:99-111
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    2. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    3. Erhan Bayraktar & H. Vincent Poor, 2005. "Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.
    4. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
    5. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    6. Cipian Necula, 2008. "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series 2, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
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