The closed-form option pricing formulas under the sub-fractional Poisson volatility models
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DOI: 10.1016/j.chaos.2021.111012
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Cited by:
- Axel A. Araneda, 2021. "Price modelling under generalized fractional Brownian motion," Papers 2108.12042, arXiv.org, revised Nov 2023.
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Keywords
Option pricing; Characteristic function; Stochastic volatility; Long-memory; Hurst exponent;All these keywords.
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