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

Emlyn Flint; Eben Maré

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Crossref Citations

1. The Development of Fractional Black–Scholes Model Solution Using the Daftardar-Gejji Laplace Method for Determining Rainfall Index-Based Agricultural Insurance Premiums
Astrid Sulistya Azahra, Muhamad Deni Johansyah, Sukono
Mathematics vol: 13 issue: 11 first page: 1725 year: 2025
doi: 10.3390/math13111725

2. 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

3. Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market
Liang Ding, Yi Luo, Yan Lin, Yirong Huang
IEEE Access vol: 9 first page: 93315 year: 2021
doi: 10.1109/ACCESS.2021.3090219

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