Does the Hurst index matter for option prices under fractional volatility?

Springer Science and Business Media LLC - Tập 13 Số 1 - Trang 55-74 - 2017
Hideharu Funahashi1, Masaaki Kijima2
1Mizuho Securities Co. Ltd., Chiyoda-ku, Japan
2Graduate School of Social Sciences, Tokyo Metropolitan University, Hachiohji, Japan

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