Fractional Black-Scholes Option Pricing, Volatility Calibration and Implied Hurst Exponents
Year of publication: |
2017
|
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Authors: | Flint, Emlyn James |
Other Persons: | Mare, Eben (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (22 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 10, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2793927 [DOI] |
Classification: | C59 - Econometric Modeling. Other ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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