Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

Emlyn Flint; Eben Maré

Crossref Citations

1. Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index
Ali Bendob, Naima Bentouir
Journal of Banking and Financial Economics vol: 1/2019 issue: 11 first page: 79 year: 2019
doi: 10.7172/2353-6845.jbfe.2019.1.4

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South African Journal of Economic and Management Sciences | ISSN: 1015-8812 (PRINT) | ISSN: 2222-3436 (ONLINE)