Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility
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DOI: 10.1007/s10690-009-9102-8
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- Rostek, S. & Schöbel, R., 2013. "A note on the use of fractional Brownian motion for financial modeling," Economic Modelling, Elsevier, vol. 30(C), pages 30-35.
- Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
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Keywords
Fractional Black–Scholes; Volatility; AMSE; Foreign exchange option;All these keywords.
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