A proof for French's empirical formula on option pricing

Authors
Ren, FY Wang, XT Liang, JR
Citation
Fy. Ren et al., A proof for French's empirical formula on option pricing, CHAOS SOL F, 12(13), 2001, pp. 2441-2453
Citations number
17
Categorie Soggetti
Multidisciplinary
Journal title
CHAOS SOLITONS & FRACTALS
ISSN journal
09600779 → ACNP
Volume
12
Issue
13
Year of publication
2001
Pages
2441 - 2453
Database
ISI
SICI code
0960-0779(200110)12:13<2441:APFFEF>2.0.ZU;2-4
Abstract
A fractional version of Black-Scholes model with Hurst exponent H varying i n (1/2, 1) is established. Especially, French's empirical formula on option pricing is proved. The relation between Hurst exponent H and the risk is d iscussed. (C) 2001 Elsevier Science Ltd. All rights reserved.