Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

Li Meng and Mei Wang ()

Asia-Pacific Financial Markets, 2010, vol. 17, issue 2, pages 99-111

Keywords: Fractional Black–Scholes; Volatility; AMSE; Foreign exchange option (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-009-9102-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:17:y:2010:i:2:p:99-111

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Guenther Eichhorn ().